The exposure for year 1 does not discount the first cash flow. Is this because the first year coupon is at the PV?
Since you are in Year 1, you are going to receive the coupon in Year 1. So there is no need to discount it.
The exposure for year 1 does not discount the first cash flow. Is this because the first year coupon is at the PV?
Since you are in Year 1, you are going to receive the coupon in Year 1. So there is no need to discount it.