When Price index is defined in the master data of a bond (tcode FWZZ, Basic data tab), sometimes it is not clear how the system calculates the position amount for interest flows. I would like to explain it with an example.
Price Index definition, see customizing:
Financial Supply Chain Management > Treasury and Risk Management > Basic Functions > Market Data Management > Master Data > Indexes > Define Price Index (table TIDX_PRICE_INDEX)
Index Values are defined in customizing:
Financial Supply Chain Management > Treasury and Risk Management > Basic Functions > Market Data Management > Manual Market Data Entry > Securities and Indexes > Enter Price Index Values (tcode S_KFM_86000134)
Bond position is created and the cash flow is as below (TPM40):
How does system calculate the Amount in position currency for the interest flow with position value date 01.06.2005) ?
It takes the calculation date as value date, in this case it is 30.05.2005.
1) System will find the related low and high index comparing to this value date:
2) Get the number of days between the low and high index values:
20050515 ~ 20050615, no.of days 31
3) Get the number of days between the low index value and the value date:
20050515 ~ 20050530, no.of days 15
4) Do the interpolation:
CALL FUNCTION ‘FIMA_INTERPOLIEREN’
I_X1 = 0
I_X2 = nDaysBetweenLow_High
I_X3 = nDaysBetweenLow_ValDate
I_Y1 = IM_LOW_INDEX_VALUE-INDEX_VALUE
I_Y2 = IM_HIGH_INDEX_VALUE-INDEX_VALUE
E_Y3 = floatIntPolIndexValue
E_Y3 = WRK_Y1 * ( WRK_X2 – I_X3 )
+ WRK_Y2 * ( I_X3 – WRK_X1 ).
-> E_Y3 3.7150000000000000E+03
Then E_Y3 = E_Y3 / ( WRK_X2 – WRK_X1 ).
= 3.7150000000000000E+03 / (3.1000000000000000E+01 – 0.0000000000000000E+00)
= 1.1983870967741936E+02 (float Intpol Index value)
5) Do the rounding
1.1983870967741936E+02 equal to 119.838710000000
tmpRatio 1.0040000000000001E+02 (Ratio 100.40)
* Index value in No ratio
indexNoRatio = tmpIndexInRatio / tmpRatio.
= 1.1983871000000001E+02 / 1.0040000000000001E+02
a. index value in Ratio is rounded to 6 decimals: 119.838710;
b. Check the size of the base ratio, if it is between 100 and 1000 (in this case 100.40), we add TWO more decimal than the rounding rule states, the real ratio would be rounded to 8 decimals: 1.193612650000.
6) multiply the position currency amount with the index value
<l_flow>-index_value = l_index_value.
multiply <l_flow>-position_amt by l_index_value.
<l_flow>-index_value is 1.193612650000
Position amount of interest flow without index (index-clean) is 53000.00.
You will get the position amount of interest: 53000.00 * 1.193612650000 = 63261.47
Treasury and Risk Management
> Transaction Manager
> Securities >
> Specific Class Data
> Settings for Special Types of
> Index-Linked Bonds
> Edit Price Index
Here contains the Price index definition, Update Type for Price Index, Values of Price Index. Please find more information in online help.
ADJUST_VALUE_DATE Adjust Fixing Date (Central)
ADJUST_INDEX_VALUE Adjust Interpolated Value (Central)
ADJ_VALUE_DATE_FOR_COND_FLOW Adjust Fixing Date for Condition Flows
ADJ_VALUE_DATE_FOR_DEAL_FLOW Adjust Fixing Date for Main Transaction Flow
Hope this helps to understand the calculation logic.