Price Calculator for Financial Instruments

The price calculator documentation describes the market price calculators for the various financial instruments.

Price calculator documentation exists for each financial instrument. The documentation contains product-specific sections, and refers to subroutine documentation applicable to the valuation of numerous financial instruments (for example, the calculation of forward rates or zero bond discounting factors).

The price calculator documentation consists of the following sections for each financial instrument:

This part contains information about the financial instrument and its variants that can be valued and depicted in the system. If other valuation results in addition to the market price are calculated, these are listed here.

This part specifies the calculation bases, in which all the initial parameters necessary for determining the market price are displayed.

This section also contains references to descriptions of subroutines, necessary for calculating certain initial parameters. The subroutine descriptions do not generally contain any product specific information. They are generally applicable to more than one financial instrument.

This part contains the description of the valuation process. The formulae for market price valuation are shown here.

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Note that the system carries out the NPV valuation for all products in double precision format. All report outputs are generated in currency format. They are therefore rounded to 2 decimal places. This could lead to rounding differences.