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 Participation Certificates (Listed) Locate this document in the navigation structure

Use

The market price calculator for participation certificates calculates current market values, and market values or time values for a future point in time known as the horizon.

Integration

The market price calculator calculates the theoretical value of participation certificates in the same way as for bonds. Accrued interest is not taken into account, however. For more information see Bonds (Listed) .

Prerequisites

You create participation certificates in Transaction Manager as bonds for which the calculation of accrued interest is set to Trade Flat (no accrued interest).

To analyze participation certificates in Risk Analysis, you must not set the Calculate Accrued Interest indicator in the valuation rule.

Features

The system calculates the NPV of participation certificates as follows:

  • If a price is available, the participation certificate is treated as a stock.

  • If no price is available, the system calculates theoretical prices for the corresponding bond.

In both cases, accrued interest is not taken into account.