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author's profile photo Former Member
Former Member

TPM60 NPV for IR Swaps

The detail log shows that only the fixed rate outgoing cash flows have been calculated in the NPV none of the variable rate cash flows have been included. Is this related to configuration? We have looked in all the IMG options and are unsure what is needed to ensure these cash flows are included in the NPV. Thank you very much for any clues you may have for us.

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    author's profile photo Former Member
    Former Member
    Posted on Aug 26, 2013 at 01:27 PM

    Ravi, thank-you for your reply. We do have the TRM company code addtional data set and there are both incoming and outgoing cash flows in the deal. Also when we calculate the NPV there are no errors in the log but only the outgoing fixed calculations are appearing, in the Variable CFs section there are only zeros in all the future dates.

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    • Former Member Former Member

      Juerg - we think we have figured it out. We needed to indicate that the cash flow was for interest in the following table

      Valuation > Cash Flow indicator > Transactions with flow types > Define assignemt manually then on the specific flows that are cont type = 6 in the CFI column choose 1

      Hope that works for you.

      John

  • author's profile photo Former Member
    Former Member
    Posted on Aug 26, 2013 at 06:36 AM

    Hi,

    Can you check the cash flow of the IRS deal to check whether the interest rates are picked for the variable leg and the variable leg has some amount to it? If the variable leg is showing as zero value for the interest due dates, then in config under TRM -- general settings -- company code additional data, maintain the settings for planned record update for variable interest rates.

    Regards,

    Ravi

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  • author's profile photo Former Member
    Former Member
    Posted on Aug 26, 2013 at 03:51 PM

    Yes we are also on EHP6 - interesting eh. Hoepfully someone here will have figured it out - I havent found any OSS notes about it.

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    • Former Member Former Member

      Thanks Ignacio, I agree, by the time I was involved the 1 was not set and there was no evidence that it had been removed - also when I ran TPM60 there was no error message at all regarding that flow. I was happy enough that it works now. I appreciate your follow-up

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