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SAP Treasury - TPM60 functionality

Dear All,

I have a quick question around the functionality of TPM60 - Save NPV values. I am trying to do the set up for a FX forward (60A - 102)

Based on my understanding, the data thats required for NPV calculation in TPM60 is

Exchange rates - Market data - I am using M rate

Interest rates - Market data - I maintained LIBOR interest rates

Yield curves - Market data - I am using standard yield curve 0133

FOREX SWAP rates in table AT15 - market data 

Market risk analyzer settings to create evaluation type and so on - customizing - I  am trying to use evaluation type - standard FAS133 with the above mentioned yield curve and M rates. I am using all "Middle par rates"

I have done all the set up and when i run TPM60, i see that SAP is trying to create a NPV. When i go to the detail log, it seems to be using the exchange rates, interest rates and yield curves to come up with the discounting factor to compute the NPV.

However, i am not sure where the FOREX forward points stored in AT15 are used

Can some one please explain me how the NPV is computed and whats the contribution of the FOREX SWAP points (table AT15) in this calculation?

Any hep will be much appreciated and rewarded.

Thanks

Shilpa

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Former Member
Former Member replied

Hi Shilpa

For the evaluation TPM60 you have created an evaluation type in customizing (basic analyzer settings > devine and set up evaluation type. To calculate your fx positions with the forward points and not with the yield curve you have to add a valuation rule to your existing valuation type. When you have created the rule you can see a tab called "evaluation control". Opent this tab and then on the right you see a field called "valuation control". In this field you have to set the flag for "calculate theorethical price". When this setting is done TPM60 generates the values for the NPV calculation with the swap points instead of the yield curve.

Regards

Juerg

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