Hello,
Does SAP have standard or workaround functionality to handle flat compounding interest rate swap?
So,in our scenario,interest is settled every 6 months.
Variable portion is calculated as follows; 6 monthly payment is sum of monthly amounts below:
- 1st month: X1= Nominal*(Reference interest rate at start of month 1+ spread)* day count/360
- 2nd month: X2= [Nominal*(Reference interest rate at start of month 2+ spread)* day count/360] + [X1* (Reference interest rate at start of month 2) * day count/360]
- 3rd month: X3= [Nominal*(Reference interest rate at start of month 3+ spread)* day count/360] + [(X1+X2)* (Reference interest rate at start of month 3) *day count/360]
- 4th month: X4= [Nominal*(Reference interest rate at start of month 4+ spread)* day count/360] + [(X1+X2+X3)* (Reference interest rate at start of month 4) *day count/360]
- 5th month: X5= [Nominal*(Reference interest rate at start of month 5+ spread)* day count/360] + [(X1+X2+X3+X4)* (Reference interest rate at start of month 5) *day count/360]
- 6th month: X6= [Nominal*(Reference interest rate at start of month 6+ spread)* day count/360] + [(X1+X2+X3+X4+X5)* (Reference interest rate at start of month 6) *day count/360]
---
Thanks
Mani