on 10-08-2015 3:21 AM
Hi Friends,
I have a query about the calculation process of NPV in TPM60.
I have created one FD on 01.10.2015 and the maturity date is 02.10.2015 which means the days count comes as 61 days. I have maintained the reference interest rates are as follows:
for 31 days 0.16
for 61 days 0.19
If I am generating TPM60 on 01.10.2015 system is considering par value and Zero coupon rate as 0.19, and generating ZBDF and calculating the NPV accordingly - This I have understand.
But, If I am generating the TPM60 on 10.10.2015 system is considering par value and Zero coupon rate as 0.1809989 and calculating ZBDF and NPV accordingly - This logic I am not able to understand
Please help me to understand the logic behind the calculation of NPV on 10.10.2015.
Thanks in advance.
Regards,
VNTR
Hi Friends,
I have understand that Zero coupon is calculating based on the interpolation formula, but I am getting the value as 0.181 and please do let me know if any other solutions for this.
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