Dear All,
I am fairly new to SAP but have come accross an oddity for which I have not been able to find a solution although its such a basic issue / question.
Here goes:
Basically I am trying to input a
plain vanilla payer swap (fixed for floating 6 month EURIBOR) both sides semiannual interest calculation and payments, both sides modified following (for interest calculation and payment) and both sides act/360.
As an example I am using the following transaction data
Nominal: EUR 1,000,000.00
Start Date: May 7th 2013
Maturity: May 7th, 2015
Fixed Rate: 1.00% p.a.
2 Day offsett for Variable rate setting (-2D modified)
First Variable Rate: 0.302% p.a. [Fixing May 3rd, 2013]
I have spent a fairly large amount of time getting to know the numerous possible interest setting options and have tested pretty much every combination but one simple issue persists.
I am using the following settings for both legs (fixed and variable)
UPDATE (Fortschreibung)
RULE (Regel): UNADJUSTED [Standard]
Frequency (Rhythmus): 6 Months
Days+/-: 0
Interestperiod End (Zinsperiodenende)
Working Day: Modified Following
Due Date (Fälligkeitstag)
Due Date: 07/11/2013 (as in November 7th 2013)
Working Day: Modified Following
The Cashflow table comes out as follows (I have eliminated some data to make it more concise)
Now my question and issue is as follows:
for the fixed leg the from and to dates align perfectly (dates marked in green above) as I would expect them and as I want them because with this depiction you can easily verify the calculations in a spreadsheet as the interest DAYS are simply the DAYS between FROM and TO.
and the calculation TO date always aligns with the value date as I have set it up.
For the variable Flows on the other hand the TO date is always 1 day "early" (marked in yellow) and the next period starts the day after. this also has the effect that the simple check of taking days between the two dates does not lead to the actual interest DAYS.
The calculation result itself is correct as the days for both legs align in each period.
This is due to the FACT that when checking the interest flows for variable interest both FROM and TO date are checked as INCLUSIVE
whereas for fixed only the FROM date is checked as inclusive.
Now basically I would like ot find a way to have the variable leg depicted exactly like the fixed leg.
Therefore I would need to know how and which settings I have to change to deactivate the inclusive mark for the TO date of the variable interest Leg.
Obviously I tried pretty much every possible combination of interest settings for the variable leg - including those where the inclusive setting can be explicitly set or deactivated. but have not found a combination that yields the desired result! most of the other settings simply shift dates around but in the cashflow profile the dates still end um inclusive for both FROM and TO dates.
I also tried the same thing in a money market deal setting up fixed interest and then variable and the issue is identical!
It seems like such an obvious issue but somehow its not as straightforward as it seems.
I would appreciate any and everyones help very much!!
All the best and thanks in advance,
Erich