Bond - valuation
I'm faced with the following situation: we want to change our valuation rule for bonds. In future the valuation should be always done with the value of redemption (= bond price 100), but only up to purchase value as a maximum.
Buy 105, current price 98 -> valuation should be with 100
Buy 95, current price 101 -> valuation should be done with 95
At the moment our position management procedure includes
Write-up rule: write up to purchase value
Write-Down Rule: write down to market value/present value
Do you have anny suggestion how to setup such a cap for the valuation?
Thanks in advance!