FX forward valuation

[Former Member]

HI, Expert

I would like to value our FX forward transactions in the following way.

Notional amount x (Ask forward - Book value of the exchange rate)

Ask Forward = SpotAsk + Forward Ask Point

Forward ask points= SQ/B ASK x ( (iquote ASK- ibase BID) x  t) /360

SQ/B ASK denotes the ASK price in the spot market for the base currency, in terms of the quote currency, expressed in decimal form.

iquote ASK is the annualized borrowing rate of the quote currency’s country expressed as a percentage.

ibase BID is the annualized lending rate of the base currency’s country expressed as a percentage.

t is the number of days until the forward contract is settled.

Is it possible to perform  in SAP Treasury ?

Miroslav

[Former Member · Accepted solution]

To valuate FX Forward where you first convert (at maturity) using spot+swap points and then discount (to valuation date) both amounts using functional currency yield curve, you will need to activate BADI JBA_SFGDT. Please refer to note 940562. Let us know if that is that you are looking for.

Mani

[sumant_purohit]

Hi,

You can use the external price calculator to evaluate any transaction with a formula that is different from the standard with the transactions JBRX and TPM60.

You can read about the interface to external price calculator here :

http://help.sap.com/erp2005_ehp_05/helpdata/en/1c/966f50170d11d2a5930000e839c3d0/content.htm?framese...

Regards,

Sumant