Volume 3 — Valuation and Risk Metrics © Copyright 2002, CCRO. All rights reserved. 52 values are expected to be realized, expressed in years, are as follows: (t1, t2, t3, t4) = (1, 2, 3, 4). Finally, assume the discount rate is r = 0.05. As shown below, the calculated tenor is about 7.8 years—well beyond the time of the last cash flow. However, when calculated separately, the tenor of the in the money positions and the tenor of the out of the money positions are 1.5 and 1.9 years, respectively. Either of these is a more reasonable estimate of the portfolio tenor. The results of the calculation are shown below. (Values are rounded to nearest tenth.) Tenor * t P PV T t  =1       = ) (Ct Tenor * t P C PV T t t  =       = 1 ) ( -82.2 -10.6 Tenor (all four positions) = =7.8 - 82.2 - 10.6 Tenor (all four positions) = =7.8 Tenor (all four positions) = =7.8  T t=1 PV ) (Ct Total current value of portfolio, P =  = T t t C PV 1 ) ( Total current value of portfolio, P = Tenor-(out of the money positions) = -93.4 -50.2 =1.9 Tenor - (out of the money positions) = - 93.4 - 50.2 =1.9 =1.9 Tenor+(in the money positions) = 54.5=1.5 37.2 Tenor+(in the money positions) = 54.5 37.2 =1.5 t (1+r) Ct Present value of cash flow, PV(Ct )= t r) (1 + = t C t r) (1 + = t C Present value of cash flow, PV(C t )