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I want to derive MTM value for a fixed interest rate bond (04I)

Sep 15, 2017 at 01:57 PM

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Client wants MTM valuation for a fixed interest rate bond (04I). I entered the security price in FW17 manually but I want MTM value automatically which takes into account yield also.

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I want market valuation based on yield and spread for fixed interest rate bond.

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Gustavo Vazquez Sep 19, 2017 at 01:50 PM
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Hi Ridhi,

Are you talking about including accrual amount in valuation ?

IMG: Financial Supply Chain Management -> Treasury and Risk Management -> Transaction Manager -> General Settings -> Accounting -> Settings for Position Management -> Key Date Valuation -> Define Security Valuation Procedure

choose your security valuation procedure and enable "use dirty Price"

The valuation procedure is defined in "Define Position Management Procedure"

Kind Regards

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