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Reval Calculation Using OPICS Method

This document outlines the steps to calculate revaluation (REVL) and net present value (NPV) amounts using the REVL method in the OPICS system. It involves 7 steps: 1) linear interpolation of the base PV rate, 2) linear interpolation of the FX rate for each currency, 3) calculation of the revaluation amount for each currency, 4) calculation of the discount factor for each currency, 5) calculation of the NPV for each currency, 6) calculation of the NPV profit/loss, and 7) calculation of the REVL profit/loss. Formulas are provided for each step of the REVL and NPV calculation process.

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Nagesh35
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd

Topics covered

  • Linear Interpolation,
  • EUR Amount,
  • Market Risk,
  • Investment Strategies,
  • Financial Modeling,
  • Financial Reporting,
  • Financial Forecasting,
  • Capital Markets,
  • Currency Basis,
  • Spot Rate
258 views5 pages

Reval Calculation Using OPICS Method

This document outlines the steps to calculate revaluation (REVL) and net present value (NPV) amounts using the REVL method in the OPICS system. It involves 7 steps: 1) linear interpolation of the base PV rate, 2) linear interpolation of the FX rate for each currency, 3) calculation of the revaluation amount for each currency, 4) calculation of the discount factor for each currency, 5) calculation of the NPV for each currency, 6) calculation of the NPV profit/loss, and 7) calculation of the REVL profit/loss. Formulas are provided for each step of the REVL and NPV calculation process.

Uploaded by

Nagesh35
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd

Topics covered

  • Linear Interpolation,
  • EUR Amount,
  • Market Risk,
  • Investment Strategies,
  • Financial Modeling,
  • Financial Reporting,
  • Financial Forecasting,
  • Capital Markets,
  • Currency Basis,
  • Spot Rate

Calculation of Reval and NPV amount using OPICS REVL method

Base Currency
Given:
BPD
Discunt Date
Value Date
EUR Spot rate
EUR rate preceeding value date
EUR rate succeeding value date
USD Spot rate
USD rate preceeding value date
USD rate succedding value date
PHP PV RATE preceeding value date
PHP PV RATE succeeding value date
EUR basis
USD basis
PHP basis
EUR amount
USD amount

PHP
22-Nov-10
24-Nov-10
3-Dec-10
59.96821000
59.96821000
59.90995252
43.83000000
43.83000000
43.79550000
0.20000000
0.25000000
360
360
360
760,000.00
(977,017.24)

9.00 DISCOUNT DAYS


24-Nov-10
24-Nov-10
28-Dec-10
23-Nov-10
23-Nov-10
23-Dec-10
30-Nov-10
23-Dec-10

SPOT
1M
SPOT
1M
1W
1M

1. Linear Interpolation of Base PV Rate


R=

0.20652174

F (EUR) =
F (USD) =

59.95278890
43.81850000

2. Linear Interpolation of FX rate

3. Reval Amount

7. REVL P/L
N (EUR) =
N (USD) =

45,564,119.56
(42,811,429.93)

DF (EUR) =
DF (USD) =

0.9999484241
0.9999484241

P/L =

2,752,689.63

4. Discount Factor

5. NPV

6. NPV P/L
N (EUR) = 45,561,769.56
N (USD) = (42,809,221.89)

*** In the accounting entries, REVL P/L or NPV P/L may be posted

P/L =

2,752,547.66

REVL FORMULA
1. Linear Interpolation of Base PV Rate
PV RATE =

Rbase ,2 =R base , 1 +

d base
Dbase

(R base , 3 Rbase ,1 )

Where

Rbase,1 is the Rate of the lower period in the REVR table


dbase is the Deals Value date - Value Date of the lower period in the REVR table
Dbase is the Value Date of the upper period in the REVR table - Value Date of the lower period in the REVR
Rbase,3 is the Rate of the upper period in the REVR table
*** REVR table in OPICS contains the present value rates

2. Linear Interpolation of FX rate (for both currency)


FX Rate

Fccy ,2 =F ccy , 1 +
Where

d ccy

D ccy

( F ccy , 3 Fccy , 1 )

dccy is the Deals Value date - Value Date of the lower period in the REVP table
Dccy is the Value Date of the upper period in the REVP table - Value Date of the lower period in the REVP t
Fccy,3 is the Rate of the upper period in the REVP table
Fccy,1 is the Rate of the lower period in the REVP table
*** REVP table in OPICS contains the FX revaluation rates

3. Reval Amount (for both currency)


Reval Amount =

Amount * FX Rate

Where

Amount is the CCY or CTRCCY amount of the transaction


FX Rate is the interpolated rate for CCY or CTRCCY (see #1)
4. Discount Factor (for both currency)
Discount Factor =

1 / POWER(1+H23/100,J5/H15)

Where

d is the discount days (Deals Value Date Discount Date)


bCCY is the CCY Basis
rCCY is the Implied PV Rate (see #3)
5. NPV (for both currency)

NPV = amtCCY * dfNPV *(/) sCCY

Where:
amtCCY is the CCY amount
dfNPV is Discount Factor (see #4)
sCCY is the CCY Spot Rate
[Link] P/L

P/L = NPVCCYAMT + NPVCTRAMT


Where:
NPVCCYAMT is the NPV of the CCY amount (see #5)
NPVCTRAMT is the NPV of the CTR amount (see #5)
7. REVL P/L

P/L = REVLCCYAMT + REVLCTRAMT


Where:
REVLCCYAMT is the REVL of the CCY amount (see #3)
REVLCCYAMT is the REVL of the CTR amount (see #3)

wer period in the REVR table

er period in the REVP table

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