Market valuation of Bond

Created by Erik Akerlund, Modified on Mon, 20 Feb 2023 at 02:30 PM by Erik Akerlund

Market valuation of Bond can be done either by price or Yield. Valuation is chosen at registration of the Bond

Market valuation by Price

In Market data/ Security Prices the Bond price is manually entered ( import from csv and marketproviders will be developed)

The Price is mapped to the ISIN.

Market value clean is the nominal amount * price

Market valuation by Yield

Treasury System uses the Forward curve to calculate the future cash flows.  All future cash flows are then discounted to the balance date and summerized to calculate the market value for the bond.

Gain/loss  will show  market value clean - market value clean (original) + accrued premium/discount

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