Swap accural/defferal in TPM1

[former_member226654]

HI Freind

I have created a forward contract on dated 28.11.2014  ( Friday)

usd dollar  =100

sport rate  = 59 inr per USD

swap rate = 1

When i am doing valuation of 30.11.2014 (sunday) by t-code TPM1, valuation of swap is not taking place,

but while keeping the same configuration i have created a forward contract on 29.08.2014 ( Friday)

and doing the valuation on 30.08.2014 (Saturday) and 31.08.2014 (sunday) by t-code TPM1, amount for swap valuation is coming correct in this case

I have maintain the leading currency and follwoing currecny as 0

i.e usd to inr 0

[nikunjprajapati · Accepted solution]

Hi Bajaj,

You may check the Factory calendar setting for the above mentioned issue.

[Former Member]

HI Pankaj,

in addition to Nikunj, the no of days for Valuation is always calculated based on T+2 rule (maintained as default in Config). So in your first case when the Key Date is 30.11.2014 and Contract date is 28.11.2014, calculation of Swap will be 0 considering 28.11.2014+2 = 30.11.2014. If you try to valuate the same contract for say on 02.12.2014 you might get the results.

SAP Calculates No of Days like this :

“Key date of current valuation” – “date of last valuation” / “payment date” – “contract date + 2 days”

So in your case, 30.11.2014 - (28.11.2014+2){considering 30.11.2014 is the first Valuation date} / 27.01.2015 - (28.11.2014+2) = 0

Regards,

Nikhil

[former_member226654]

Hi emir

PMP procedure is  same for both

[Former Member]

As far as we ditch the problem, it looks like data set is the main reason. As I said in my previous post, you need to check dates and spot/forward rates to see is it about that particular date or any other specific problems. For my client, We are not using val. with dirty price method but customization is not the place you should be looking for. Cause you already reach the correct amount in one example.

Regards,

Emir

[former_member226654]

[Former Member]

Hi Pankaj

It seems both transactions have the same origin, so they must have the same position management procedure. Accoring to the images that you post, you are using "val. with dirty price" method. In that case, it must be about the data set in Nov. Hence, you are getting a write-up valuation price, it is not about currency set. You should check PMP to be sure and compare these two examples. Then you can change the spot and forward rates and/or dates to control the results.

Dirty Price (Market Price + Interest Accrual)

The interest accrual is calculated by the system using the accrual/deferral function. The necessary control parameter (incl. key date / end-of-month) can be specified in the customizing of the evaluation step.

Regards,

Emir

[Former Member]

Hi Pankaj,

Can you provide us more information about the topic. Which prd. type are you using? For valuation, are you using swap rates or forward curve? There is a strong possibility that tables are not filled with necessary information. But you can also check the USD/INR currency for the respective dates. If they are same from Friday to Sunday, that can be the reason.

Regards,

Emir

[former_member226654]

Hi Emir

I am using forward product, in my case i am using product type 60C, which is copy of Product type 60A or 60B. I have maintained leading currency USD to INR as 0 days.

[Former Member]

Let's clear the situation. What is the maturity date for the forward contract? If you want to post the realized valuation at the end of the maturtiy, you should use t-code TPM18. On the other hand, if you want to valuate at the end of the month, then you should have either swap points (table AT15) or reference int. rates (Market Risk Analyzer) to calculate it. In MRA, you first calculate NPV through yield curve which is based from ref. int. rates, then you post this in TPM1.

[former_member226654]

Hi Emir

Validity of forward contract is 60 days.

If i create a contract of dated 29.08.2014 ( Friday) and do the TPM1 on 31.08.2014 (Sunday) the amount of swap

accural/defferal is coming correct.

And if i create a forward contract on date 28.11.2014 (friday) and do the TPM1 on 30.11.2014(Sunday)

amount of swap accural/defferal is not coming, only valuation of forward contract is coming

Regards

Pankaj

[Former Member]

Can you paste the images that you get the correct amounts and the ones that you did not get any result? Maybe then we can understand it clearly and solve the problem