# Exercise Solution 8.7

Because we are using a 1-day VaR horizon, time 1 corresponds to November 8. The subscript *i* represents the number of basis days from time 1 to the maturity of the cash flow, which is November 15. Accordingly, the subscript *i* equals 7.

The fact that we are using 2^{nd}-day valuation has no relevance for the value of the subscript *i*, which equals 7 regardless of the valuation method. Of course, the valuation method will affect the value of the discount factor ^{1}*Q*_{7}.