Market valuation of Bond

Created by Erik Åkerlund, Modified on Wed, 7 Feb at 2:43 PM by Teuvo Suoraniemi

Market valuation of Bond can be done either by price or Yield. The market valuation type is selected in Bond definitions where the instrument data is entered.

Market valuation by Price

In Market data/ Security Prices the Bond price can be imported from a market data provider, imported from csv or entered manually.

The Price is mapped to the ISIN.

Market value clean is the nominal amount * price

Market valuation by Yield

All future cash flows are discounted to the balance date and summarized to calculate the market value for the bond. For Bonds with variable interest Treasury System uses the Forward curve to calculate the future cash flows.

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

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