TPM60 Calculation

[Former Member]

Hello Experts,

Can someone explain the calculation behind TPM60?

I know that its calculating the NPV but where does the values coming from?

Please advise.

Thanks,

Katherine

[Former Member]

Hi Katherine,

the calculation of financial instruments is described under the follwing link:

http://infoline/SAPHelp/helpdata//EN/cd/17f64ad52411d189f30000e829fbbd/frameset.htm

Regards

Roland

[Former Member]

Hello Roland,

Thanks for your reply.

However, the link doesnt work, can you resend the link again?

Thanks,

Katherine

[Former Member]

HI Katherine,

check the following link, this one should work:

http://help.sap.com/saphelp_erp60_sp/helpdata/en/cd/17f64ad52411d189f30000e829fbbd/frameset.htm

Regards

Roland

[Former Member]

Thanks for the link=)

[Former Member]

What kind of instrument are you valuing? An interest rate cap or option will have a different calculation than a pure loan so it will help to know what kind you are running in TPM60.

For IR Caps which are essentially options, the NPV is the intrinsic + the time value component. The intrinsic is how much the option is currently in the money and the time value is a function of the volatilty of the underlying. The math is complicated but if you look at the detailed log in TPM60 after you run it you can see what values it uses to come up with the final amounts.

For IR Caps, the yield curve values are important as well as the volatility you use.

[Former Member]

Hello James,

Im actually doing stock option...as far as I know its using the values in tcode: SCPE_PQ1 but I dont know the exact calculation.

Do you know how its being calculated?

Thanks,

Katherine