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Status Future consideration
Categories Requests
Created by Phil Morton
Created on Aug 21, 2023

RELATED IDEAS

Last Revaluation Date for NDF is Fix Date not Settlement Date

Last Revaluation Date for NDF is Fix Date not Settlement Date. This is similar to Currency Options

Clients would like the ability to revalue the NDF between Fix Date and Settlement Date. This valuation would be the discounted value of the Settlement Cash Flow.

Analytics does value an NDF to it's Settlement Date.

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  • Sudhir Gupta
    Reply
    |     Aug 2, 2024

    In additon if the NDF trade is in a hedge relationship, QTM stops generating hedge regression result after fixing. This is causing a discount for external reporting as well as hedge accounting assertion for the period end. Additionally, if the trade is in Net Investment hedging relationship, and the settlement crosses month end, QTM doesn’t generate revaluation entry at the month end which is required for financial reporting.