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ZBDF calculation where term is longer than 1 year in JBRX

May 03, 2017 at 08:15 AM

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Hi SAP colleagues,

Would any of you be able to help me on the following question?

I have a NPV calculation question on how ZBDF (Zero Base Discount Factor) is calculated via JBRX in the example below where interest term in concern is longer than 1 year.

Annual base days - 365

Interest Days - 441

ParCoupon - 3.0789598

Zero Coupon - 3.0854654

ZBDF - 0.963950215

ji = annual days of year in according to 'a' of the interest method
bi = annual base days of term ZBAFi according to 'b' of the interest method

ZBAFkum(i+1) = ZBAF1*(j1/b1) + ZBAF2*(j2/b2) + ... + ZBAFi*(ji/bi)

For d > 1 year: ZBAFt = 1 / ( 1 + Pt * ( d - dt ) / bt ) * ( 1 - Pt * ZBAFkum )

My issue is that I cannot figure out how the system calculation of ZBDF for 441 days at 0.963950215.

Would you please help?

Kind regards

Taro

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