SWAP in TPM1

[Former Member]

Hi Friends,

I created a deal on 2014/01/01 and maturity date is 30/03/2014. I am doing the Valuation on 2014/01/31.

I have maintained the swap rates  i.e. 7 days 0.00001

                                                            30 days 0.00004

                                                       and 90 days 0.00005

On 2014/01/31 system picks the swap rate from 30 days. i.e. 0.00004. am I correct?

If my valuation date is 2014/02/28 what SWAP rate system picks?

Thanks,

NTR

[Former Member]

Hi,

note 184678 explains in detail how the swap rates are picked, including an example.

Best regards,

Marie

[Former Member]

Hi,

What are the swap rates available in the system on 28/02?  Based on that only we can tell which one it will pick.

Market Data has to be there on the valuation key date in AT15 table.

Regards,

Ravi

[Former Member]

Hi Friends,

Kindly provide solution to my query.

Thanks,

NTR