Re: Accrued interest adjustment of the amortization (poduct cat. 550)

Hello Alex,

just short note, that probably could be interesting for you. But my approach is slightly diffrent.

Instead of using amortization step for MM deal we use Security valuation. Process look like this:

1. We run TPM60 to calculate NPV of future cash flows. First time at start date of deal. And each end period date also.
2. We run TPM1 for valuation. When we start it on beginning date system posts difference between nominal value and NPV. When we start it at the end of period system posts write-off.

we've configured our security valuation step with "dirty price" option. As a result accrued interest amount is also considered in NPV calculation.

TPM60 also uses yield curve data to define interest rate for cash flow discounting.