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Methodologies / fx-exposure-netting

Exposure Netting & Timing Gap

Currency netting plus month buckets and timing gap between earliest receivable and payable.

v1.0fx-exposure-netting

Formula

net = recv − pay; gap_days = earliest_recv − earliest_pay (calendar)

Assumptions

Each row has an expected_date.

Limitations

No discounting or FX conversion.

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