Hi friends
We have customized discount instruments (TBs, and Bankers acceptance) on zero coupon bonds. On running TPM1 to amortise the discount, we found that it does not amortise on the first day e.g
Bought Bankers acceptance on 01/01/2014 maturity 31/12/2014, Nominal 100M, Price 95% discount 5% (5M). when we run TPM1 on 01/01/2014 it generates Nil amount upon amortisation it only starts amortising on the 02/01/2014 (Business expects it to amortise from the purchase date on 01/01/2013 and also when we run TPM 1 on the 30/12/2014 it is expected that it gives us total amount of 5M but it gives us less than 5M , on the PMP we using SAC Gross , my first guess is that its using wrong effective interest rate, how do we correct this , amortisation must be based on the effective interest and also on fixed income bonds we also expect amortisation to be based on effective interest rate not coupon rate, kindly advise 1. how to generate amortisation on purchase date 2. effective interest rate calculation method we must use to generate correct amounts and 3 Correct PMP
Thanks in advance
Victor