Single Value Analysis – Executing NPV Analysis (SAP Library

Single Value Analysis: Executing an NPV Analysis

Choose Accounting ® Bank Applications ® Risk Analysis ® Market Risk Analysis ® Information System ® Single Value Analyses ® NPV Analysis.

Specify the Display Currency, the Evaluation Type, the Evaluation Date and the Horizon.

This graphic is explained in the accompanying text

On the tab page General Selections specify the financial objects you want to analyze. Note the rules for selecting transactions. You can also use the buttons Only Actual, Only Simulated, Insert Actual and All as input help. The fields Position Number and Number of Simulation Run are then filled in accordance with your selection.

You can further limit the transactions by entering characteristic values on the tab page Characteristics.

On the tab page Report Structure define the structure of the columns in the report.

If required, enter one or more scenarios by choosing the button Scenarios.
Enter one or more market data shifts by choosing the button Market Data Shifts.
If you choose the button Key Figures you can define whether you want to calculate the net present value and the clean price.
If you set the indicator Include Differences, the system shows how the net present values of the scenarios and market data shifts have changed in comparison with the net present value calculated using current market data.

On the tab page Control Data you define whether a detailed log is to be created or if navigation through the portfolio hierarchy is to be possible.
Choose Execute.

Result

The net present values for single financial objects (single transactions, single positions) are calculated. The system can display a maximum of 11 columns. This comprises either 10 scenarios with no differences or 5 scenarios with differences. If you choose more scenarios, the system first ignores the differences, and then it ignores any scenarios chosen after the tenth one.

The detailed log contains the following information:

Terms of the cash flows
Division into variable/fixed cash flows
Market data with the Customizing settings used in the evaluation
Conditions of the valued transactions
Details about how the forward interest rates were calculated
The discounting factors used to discount the cash flows, and the NPVs resulting for the individual flows
Total NPVs in both the transaction and the display currency (the exchange rate used in the translation process), possibly further divided into fixed and variable NPVs
Any errors or warnings that occurred during the NPV calculation