Académique Documents
Professionnel Documents
Culture Documents
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)
SPOT
1M
SPOT
1M
1W
1M
0.20652174
F (EUR) =
F (USD) =
59.95278890
43.81850000
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
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
Amount * FX Rate
Where
1 / POWER(1+H23/100,J5/H15)
Where
Where:
amtCCY is the CCY amount
dfNPV is Discount Factor (see #4)
sCCY is the CCY Spot Rate
6.NPV P/L