Re: Forward Contract Cancellation Accrual

Hi Rohit,

Thanks for your reply!

If I continue the valuation for the original contract and the netting contract, the valuation happens on the forward rates which were decided on the inception date.

And If I run TPM18 for the cancelled contract the profit/loss will be realized on the date of cancellation.

But in our case, we want to accrue the profit/loss gained out the premature cancellation of the contract till the maturity date.

Any suggestions on how to achieve the above scenario?

Thanks,

Kamal