Eagle's Accounting solution requires prices for interest rate swaps and credit default swaps to be supplied as "clean" unit prices. That is, without payable or receivable accrued interest. If accrued interest is included in the price, the interest is double counted in the daily valuation. If a broker or vendor supplies an all inclusive market value (dirty), the accrued interest must be backed out and divided by the notional amount to calculate a "clean" price.
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WRITERS NOTE: add cross reference to RDC Add/Edit Price Exchange panel when it arrives in RDC |
You can use Reference Data Center's Add/Edit Price Exchange panel (or Issue Viewer's Insert/Update Price Exchange panel) to add the dirty market value for an interest rate swap and credit default swap. After adding the dirty market value, you can run a global process to calculate the clean unit price.
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- In Accounting Center, in the left navigation pane, click Processing & and Exceptions > Global Processes > Clean Unit Price > Calculate Clean Unit Price.
You see the Calculate Clean Unit Price panel. - Complete the options on the Calculate Clean Unit Price panel.
- Click Submit.
The system removes the accrued period-to-date interest from the dirty market value to calculate the clean unit price.
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