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Re: TPM60 NPV for IR Swaps

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Hi John,

 

I still not see why you obtained only the outgoing leg (fixed leg) discounted cash flows and not the incoming leg (floating leg) discounted cash flows.

In the systems that I have checked, the assignment of Flow Types to Cash Flow Indicator is done by default in the standard configuration (See the screen print below):

 

 

But in the case that your system has not this standard configuration(I mean the assignment table completely fulfilled), and the Flow Type(normally Flow Type 1200) was not assign to Contract Type 6 and Cash flow Indicator 1. , when running TPM60 you should not obtain nor incoming nor outgoing discounted cash flows, since flow types for both legs are the same( normally F.Type1200) with different signs.  You should have obtained the following error message:

 

 

So I still don´t see why were you unable to obtain the variable discounted cash flows results at the beginning when you executed TPM60, but from my point of view, this functionality runs and valuate IRS correctly, keeping standard configuration unchanged. 

 

Regards

Ignacio


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