Limit Management (CRA) Book Value as Attributable amount for Bonds
I am currently setting up TRM CRA and it's required to have
Accrued Book Value as Attributable Amount for Bond positions.
I am aware of using NPV or Nominal Values, but how can I achieve to have Book Values + Accruals?
I think about using the user exit and using function modules (from standard, to be checked) to calculate Book Value and Accruals and to add them.
Or to have a modified evaluatiion type for CRA where the Bonds get valued either by discounted cashflow method (so including the accruals) or get valued by a modified market price calculated externally and including the accruals.
Any other idea?
Thank ou so much! This is my first request here, am excited if you guys (and girls) have any good idea.
BR Stefan Dittrich