Market Valuation of NDF

Modified on Tue, 3 Nov at 3:47 PM

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This article describes how Treasury Systems do the Market Valuation of Non Deliverable Forwards (NDF)



FX Gain/Loss is calculated in the base currency. 

The FX Gain/Loss is calculated using the FX Forward Rate at Period End compared with the FX Forward Rate at Transaction Start.

Since no interest component is recognized, Market Value Dirty and Market Value Clean will have the same value.

The fields Period Interest Amount and Interest Gain/Loss will be left blank.


Interest rates for discounting is only needed for the base currency.

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