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ANBIMA (Brazilian Association of Financial and Capital Market Institutions) official financials calculation guide (Google English translation), Portuguese original is also attached
It starts on page 15, item 4.11 .
This document shows how to calculate everything related to CDI and IPCA. It is good to have a good read of the whole document, not only this section. Right in the beginning they talk about the rounding’s details.
Below are extracts from an email describing the issue and also referencing supporting documentation
Hi Rodrigo & all,
I’ve completed my analysis and the results are unfortunately mixed.
The calculation methodology used by AES and specified in the attached document, can be best described as Flat Compounding. See page 18 to page 24 (item 5.20 to 5.22), which corresponds with ANBIMA methodology.
Flat Compounding calculates compound interest using the base rate only, excluding any margin/spread, i.e. spread exclusive.
This Flat Compounding methodology is different from the way Qt calculates compound interest using the Yield-CDI formula.
Qt adds the base rate and spread together and then does the compounding, i.e. spread inclusive.
We support Flat Compounding for the Yield-Compound formula for IR Swaps only. However, the compounding methodology used by the Yield-Compound formula is fundamentally different from the Yield-CDI formula
I point this out as I’m not sure how easily it would be to replicate Flat Compounding for Yield-CDI.
From a development standpoint, this would be a modification and is not a bug. Basically, the Yield-CDI formula has always calculated compounding interest this way.
When could this mod get scheduled? I’m not sure at this stage, but it highly unlikely to be in 2020. Until we get an indication of development effort, it difficult to estimate any delivery timeframes.
We are investigating one potential work-around using Analytics and EWF, however it is a very much a long shot.
I also have a few questions on the AES example compared to the ANBIMA methodology. The answers are unlikely to change the above analysis, but are necessary for any development that might occur.
Regards,
Mark