TPM60 NPV for IR Swaps

[Former Member]

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.

[Former Member · Accepted solution]

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.

[Former Member · Accepted solution]

Hi John

Are you on EHP6? I have the same issues and just checking if this is a bug.

Regards

Juerg

[Former Member · Accepted solution]

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

[Former Member]

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

[Former Member]

Hi John,

I cannot see why you are not obtaining the incoming discounted cash flows when running TPM60 for your IRS. I have check it, and it seems to run correctly. See example screenshoot below:

Regards

Ignacio

[Former Member]

Thank-you we are getting this answer now that we modified the config as indicated above.

[Former Member]

Hi John,

I still not see why you obtained only the outgoing leg (fixed leg) discounted cash flows and not the incoming leg (floating leg) discounted cash flows.

In the systems that I have checked, the assignment of Flow Types to Cash Flow Indicator is done by default in the standard configuration (See the screen print below):

But in the case that your system has not this standard configuration(I mean the assignment table completely fulfilled), and the Flow Type(normally Flow Type 1200) was not assign to Contract Type 6 and Cash flow Indicator 1. , when running TPM60 you should not obtain nor incoming nor outgoing discounted cash flows, since flow types for both legs are the same( normally F.Type1200) with different signs.  You should have obtained the following error message:

So I still don´t see why were you unable to obtain the variable discounted cash flows results at the beginning when you executed TPM60, but from my point of view, this functionality runs and valuate IRS correctly, keeping standard configuration unchanged. 

Regards

Ignacio

[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

[Former Member]

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