Re: Yield Curve Type Assignment in NPV run (TPM60)

Hi Nikhil,

Here are the screenshots & details of contract;

Product type - IRS

Term: 9/8/2010 to 9/8/2015

Interest: Out (Fix @ 4.92), Inc (Variable) - settlement is every quarter

Contract was pre-terminated on 4/1/2015

YCT 9000 & 9050 Read Procedure is "Read Back Directly" and Interpolation Procedure is "Linear"

Issue: On 3/31, TPM60 was executed containing original end term where YCT 9050 was used in NPV calc. When contract was pre-terminated on 4/1 & TPM60 was re-run, NPV has changed (due to pretermination) but why is it that YCT 9050 was not used? Same NPV Type was used (only 9000 YCT is assigned to NPV Type).

YCT 9050 vs 9000:

TPM60: On 2/28 showing 9000 & 9050 YCT:

TPM60: On 3/31 (after pre-termination), only YCT 9000.  But prior pre-term, 9050 was used.

Thanks!

Chaikaru