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Status Future consideration
Created by Chris Hitch
Created on Jun 22, 2022

FX Revaluation - Post Separate Revaluation and Ccy-Translation Per Leg

AQT-63675

We want to post FX revaluation (ccy translation) separate per leg. This is especially useful when we want to analyse the PnL results per currency. We tried the options provided within Quantum but that was not satisfactory. We then tried a work around to calculate the market value in Analytics and post this in Quantum.

We have been testing with the option to set the FX revaluation to imported separate. Analytics will calculate the Market Value per leg, and the MVI report in Analytics was changed to accommodate this. The market value for the FX deals is then imported separately as set up in the accounting rules.

This was working fine for the Market Value calculation in the position report (POSNPRO), however the problem with this approach now is the currency revaluation on the notional is not posted.

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