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FX Forward realized gain/loss calculation

Hello All,

I need some help in figuring out calculation of realized gains/loss for FX Forward contract; since it has been a while that I looked at this.

So, what is happening is: When I create a FX Forward, it calculates the realized gain/loss at the time of creation of contract and stores that in TRLV_QUERY table and when I run TPM18 (after TBB1) at maturity, it just posts that stored value as realized gain/loss.

The way it calculates the realized gain loss is it looks at the M rate for the Value date and compares it with the forward rate and multiplies the difference with the amount to come up with the realized gain/loss. The problem is there is no rate for the Value date when we enter the contract; so it takes the last available rate in the TCURR table which is usually the rate on (or around) the contract date and then compares that with the Forward rate to come up with realized gain/loss calculation. So, the realized gain/loss calculation is wrong.

Ideally, what should happen is the calculation should be done when I run TPM18 because the rate on the Value date is available at that time in the TCURR table.

I thought this would be related to the Position Management Procedure setting (I'm using Security Valuation Procedure, but I've tried using Price valuation procedure on Forward exchange transactions with different settings) with the same result.

Let me know of any clarifications required on my question.

Appreciate any inputs. Thanks.


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