valuation of foreign exchange forward with NPV split for interest vs FX impact?
I have the following business requirement regarding the accounting treatment of the valuation of a foreign exchange forward deal :
1. during the lifetime of the deal
the deal should valued at its NPV using the swap points curve (table AT15) => that gives the "VALUE"
step 2. the posting of the deal's value should be SPLIT into TWO components
a) component 1 = linearly amortized swap points since deal date +2 until valuation date => to be classified to interest result
b) component 2 = VALUE - component 1 => to be classified to unrealized fx result
So, in fact it is some hybrid combination of the two SAP standard valuation methods
a) spot/spot + swap accrual + swap valuation (but NO NPV calculation)
b) NPV calculation (without any split in components)
2. at maturity
realized fx result : calculation based on deal spot rate versus spot rate at maturity
interest result : calculation based on deal spot rate vs deal forward rate
Don't see how this "mixted behavior" can be achieved by customizing the valuation process.