I have a Commercial paper for USD 2Million with a interest rate of 9% invested on Jan 1, 2010 and maturing on Feb 7, 2010.. I ran PAEP1 PAEP2 transactions which calculated all the key figures (including Time weighted Rate of Return - TWRR). When I run the AIS_STDREP report, it shows that the TWRR is -59.98667.
My question is:
1. The TWRR should be in the viscinity of 9%, why is the system showing such a huge figure of -59.98667?
2. Why is this figure negative?
3. In the Results database table RDBPA_NSUM_GEN the TWRR calculated is -5.998667, but in the AIS_STDREP report is showing it as 10 times that value.
I would appreciate if anyone can explain how the TWRR is calculated and if there is any OSS note which explains this.
I know the formula for calcualtion of TWRR as given in SAP documentation in Help.sap.com, but I want to know how it is actually calculated. In the above example, there are only two cash flows. The initial discounted amount 1,981,669.56, when the investment is made and the final repayment of 2,000,000 at the end of the period. Typically the formula is Nominal value at the end of the period divided by Nominal value at the beginning of the period, in which case it should return 9% as the TWRR. Is my understanding correct? Or is the system using the LIBOR rate (attached to the yield curve given in the Evaluation type) to calculate the TWRR?
In the Evalaution type p Portflio analyzer TAB, I have selected 'Nominal Value' out of the three choices given in that (Nominal value, Nominal value plus interest receivable and NPV(default). Is this correct?
I saw in another thread, Vinodh mentioned that we should use 'Calculate Theoretical price' in the 'Evaluation Control' TAB. . But since I am not using the Valuation Rule, this option is not available in the General Information' of the Evaluation type.
I would appreciate any help in this matter.