Hi Carl,
In order to use the 2step valuation during the lifetime of forex contracts, you need to combine 2 valuation steps in your Position Management Procedure:
1. step 6 Rate valuation for forward exchange transactions: spot-spot
2. step 4 Security valuation
Additonally, if the NPV should be calculated based on swap points from AT15, you need to apply BAdI JBA_SFGDT that is able to adjust TPM60 or/and reports in MRA if needed. See SAP note 0000940562 for details (and also 1941874 for extrapolation issues).
As far as i know, at maturity you can only have 1flow of gain/loss by using standard SAP Solution.
Best regards,
Piotr