Use

The market price calculator for spot stock transactions calculates current market values, time values, and future market values (the future point in time is the horizon).

Spot stock transactions involving stocks in the same class are bundled together and valued as positions for risk analysis.

Integration / Calculation Basis

When valuing a spot stock transaction, you need to have the transaction data and the stock price for the evaluation date.

If the horizon comes after the evaluation date, you need zero bond discounting factors in addition to the other input parameters for determining the forward stock price. Only the zero coupon calculation method is available for defining zero bond discounting factors.

If the transaction currency differs from the display currency of the stock position, the transaction currency is changed into the display currency using the currency rate from the horizon. If the horizon is later than the evaluation date, the corresponding forward currency rate (bid or ask price) is calculated for the evaluation date using the yield curves from the transaction and display currencies.

To calculate the initial parameters you use the function module for the calculation of the zero bond discounting factors.

Scope of Functions / Valuation

The market value of a position on the evaluation date (horizon) is calculated by multiplying the number of stocks in the position by the stock price on the evaluation date (forward stock price on the horizon).

The following abbreviations/definitions are used:

( )

If the display currency differs from the transaction currency, the NPV is calculated using the forward currency rate.