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Jun 04, 2018 at 04:00 AM

valuation class transfer (TPM15M ) for a position with amortization procedure.

871 Views Last edit Jun 05, 2018 at 06:36 PM 2 rev

tpm15m.pngHi,

I am trying to do tpm15m for interest rate instrument in money markets. It also has discount flow, and amortisation procedure assigned. When I did tpm15m, I am getting flows such as clear premium etc. Does valuation class transfer work in case of amortization procedure. Screenshot attached.

Thanks

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tpm15m.png (67.6 kB)