TPM60 NPV for IR Swaps

[curtis_shirley]

We are having issues the NPV calculation of our IR Swaps. The problem is that the rate setting is done on a quarterly basis in arrears and paid semi-annually. In the example below the rate setting was done on June 4 and we would want that cash flow to be included in the MTM for the month of June, July and August. The June 4 capitalized cash flow that has been set is included in the fixed cash flow amounts but then is not included in the NPV calculation of the negative cash flows.

The other option is that when the NPV is done on the negative CF’s it should NPV the total of the 1160 cash flow. Or to use the example from above the September 4 total to be NPV’d would be $2,014,398.9, which is the sum of the June 4 cash flow and the calculated September 4 cash flow from the floating CF section.

Does anyone have any ideas on how to correct this NPV calculation issue?