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Calculation of Reval and NPV amount using OPICS REVL method

Base Currency
Given:
BPD
Discunt Date
Value Date
EUR Spot rate
EUR rate preceeding value date
EUR rate succeeding value date
USD Spot rate
USD rate preceeding value date
USD rate succedding value date
PHP PV RATE preceeding value date
PHP PV RATE succeeding value date
EUR basis
USD basis
PHP basis
EUR amount
USD amount

PHP
22-Nov-10
24-Nov-10
3-Dec-10
59.96821000
59.96821000
59.90995252
43.83000000
43.83000000
43.79550000
0.20000000
0.25000000
360
360
360
760,000.00
(977,017.24)

9.00 DISCOUNT DAYS


24-Nov-10
24-Nov-10
28-Dec-10
23-Nov-10
23-Nov-10
23-Dec-10
30-Nov-10
23-Dec-10

SPOT
1M
SPOT
1M
1W
1M

1. Linear Interpolation of Base PV Rate


R=

0.20652174

F (EUR) =
F (USD) =

59.95278890
43.81850000

2. Linear Interpolation of FX rate

3. Reval Amount

7. REVL P/L
N (EUR) =
N (USD) =

45,564,119.56
(42,811,429.93)

DF (EUR) =
DF (USD) =

0.9999484241
0.9999484241

P/L =

2,752,689.63

4. Discount Factor

5. NPV

6. NPV P/L
N (EUR) = 45,561,769.56
N (USD) = (42,809,221.89)

*** In the accounting entries, REVL P/L or NPV P/L may be posted

P/L =

2,752,547.66

REVL FORMULA
1. Linear Interpolation of Base PV Rate
PV RATE =

Rbase ,2 =R base , 1 +

d base
Dbase

(R base , 3 Rbase ,1 )

Where

Rbase,1 is the Rate of the lower period in the REVR table


dbase is the Deals Value date - Value Date of the lower period in the REVR table
Dbase is the Value Date of the upper period in the REVR table - Value Date of the lower period in the REVR
Rbase,3 is the Rate of the upper period in the REVR table
*** REVR table in OPICS contains the present value rates

2. Linear Interpolation of FX rate (for both currency)


FX Rate

Fccy ,2 =F ccy , 1 +
Where

d ccy

D ccy

( F ccy , 3 Fccy , 1 )

dccy is the Deals Value date - Value Date of the lower period in the REVP table
Dccy is the Value Date of the upper period in the REVP table - Value Date of the lower period in the REVP t
Fccy,3 is the Rate of the upper period in the REVP table
Fccy,1 is the Rate of the lower period in the REVP table
*** REVP table in OPICS contains the FX revaluation rates

3. Reval Amount (for both currency)


Reval Amount =

Amount * FX Rate

Where

Amount is the CCY or CTRCCY amount of the transaction


FX Rate is the interpolated rate for CCY or CTRCCY (see #1)
4. Discount Factor (for both currency)
Discount Factor =

1 / POWER(1+H23/100,J5/H15)

Where

d is the discount days (Deals Value Date Discount Date)


bCCY is the CCY Basis
rCCY is the Implied PV Rate (see #3)
5. NPV (for both currency)

NPV = amtCCY * dfNPV *(/) sCCY

Where:
amtCCY is the CCY amount
dfNPV is Discount Factor (see #4)
sCCY is the CCY Spot Rate
6.NPV P/L

P/L = NPVCCYAMT + NPVCTRAMT


Where:
NPVCCYAMT is the NPV of the CCY amount (see #5)
NPVCTRAMT is the NPV of the CTR amount (see #5)
7. REVL P/L

P/L = REVLCCYAMT + REVLCTRAMT


Where:
REVLCCYAMT is the REVL of the CCY amount (see #3)
REVLCCYAMT is the REVL of the CTR amount (see #3)

wer period in the REVR table

er period in the REVP table

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