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Former Member
Apr 27, 2012 at 11:02 PM

SAP Treasury - TPM60 functionality


Dear All,

I have a quick question around the functionality of TPM60 - Save NPV values. I am trying to do the set up for a FX forward (60A - 102)

Based on my understanding, the data thats required for NPV calculation in TPM60 is

Exchange rates - Market data - I am using M rate

Interest rates - Market data - I maintained LIBOR interest rates

Yield curves - Market data - I am using standard yield curve 0133

FOREX SWAP rates in table AT15 - market data

Market risk analyzer settings to create evaluation type and so on - customizing - I am trying to use evaluation type - standard FAS133 with the above mentioned yield curve and M rates. I am using all "Middle par rates"

I have done all the set up and when i run TPM60, i see that SAP is trying to create a NPV. When i go to the detail log, it seems to be using the exchange rates, interest rates and yield curves to come up with the discounting factor to compute the NPV.

However, i am not sure where the FOREX forward points stored in AT15 are used

Can some one please explain me how the NPV is computed and whats the contribution of the FOREX SWAP points (table AT15) in this calculation?

Any hep will be much appreciated and rewarded.