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Former Member
Dec 07, 2009 at 10:09 AM

THM80 - zero in Delta in derivatives cash flow & Sum of delta derivative

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Hi All,

I was trying to execute effectiveness report - THM80. However, no matter the calculation type I used, it always give zero value in field Sum of delta derivative and Delta Derivatives Cash Flow.

There's, however, a value populated in Delta in hedged item cash flows and Sum of delta hedged item.

can anyone shed some light here on how the derivative is calculated? As far as I know it's only controlled by calculation type.

Thanks

Edited by: diankusuma on Dec 7, 2009 11:12 AM