Hi all, Do you know why we need to discount credit loss for forward (Part Bi) but not for option (Part Bii)? I know the answer key says “for an exchante traded option prior to expiration, the current market value of th eput option would be the amount at risk”. But still, to me, it does not explain why we do not need to discount it? Thanks for your help in advance!
I think the market value of the put option should already take account of the time value of money.