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Former Member
Oct 04, 2016 at 04:46 PM

Incorrect Interest calculation in FRA (P/type 63A)

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Hello

I am simulating the below FRA instrument, and the interest calculation in the cash flow I am not able to reconcile as per my understanding. Request you to please correct my understanding, or any other hints which I need to consider

OB83 rate for ref interest rate 01 is as below

As per my understanding, system should calculate interest as below

Base Amt = INR 1000,000

Number of days = 91/366

Int rate = (20-10=10%)

Amt as per my calculation= 24863

Amt calculated by system= 23686

Why is the above difference in calculation?

Sameer

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