Amortization for treasury bills

[Former Member]

All,

When amortizing a treasury bill at month end with amortization method LAC, the system does not include the last day in the calculation, so I miss every month end one day. In a previous project this was solved by just adding a day for the amortization calculation date: so if month end is 31/01/2011, we just put 01/02/2011 and it will calculate it correctly.

Since on my new project business also has a problem with this I was wandering if there was a better solution? I couldn't find anythin on OSS Notes

help is appreciated!!

kr,

Stef

[tomislavkolonic]

Hi Gregory,

which product type do you use for treasury bills, commercial paper or zero bonds?

Commercial paper has the repayment condition not inclusive, so if you repay on let's say 1/1/2012, then the last amortization day is 12/31/2011 inclusive.

Per default is the same for zero bonds, but there you can set the flag in FWZZ to include the end term, so 1/1/2012 will be included in calculation.

TPM1 amortizes always with key date inclusive, but if position is closed, then there is no amortization.

BR,

Tomislav