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Bond Forwards are valued at their unrealized gain/loss (URGL). Eagle Accounting requires unit prices inclusive of any applicable discounting. The formulas below show the same calculation being broken down into its component parts.
- Market Value = URGL
- Market Value = Notional Market Value - Notional Cost
- Market Value = # of Contracts * Contract Size * (Current Price - Trade Price) * Price Multiplier
Price Conversion
Some vendors are only able to provide a price equal to the unitized discounted URGL. In these cases, price conversion functionality is available to convert the discounted URGL price (base = zero) to a MV price (base = open trade price). This is only available for Bond Forwards that are modeled as described in this document and that are held in a single fund. If a single Bond Forward SMF is held in multiple funds, an incorrect price may be calculated.
The functionality is available in the Add Issue Price Conversion, Edit Issue Price Conversion, and Add/Edit Price Exchange Conversion screens. There is logic in these screens to find the entity that holds the Bond Forward, look up the open trade price, and add the discounted URGL price to it. The components used to calculate the price (excluding Open Unit Price) are stored in the PRICE or PRICE_EXCHANGE table for audit purposes. Open Unit Price can be pulled from the TRADE or LOT_LEVEL_POSITION tables.
| Field | Tag | Value | Column Name |
|---|---|---|---|
| Price Type Code | 1843 | Set to | PRICE_TYPE_CODE |
| Pricing Entity ID | 7107 | If a value is not provided, it will be looked up automatically | ENTITY_ID |
| Open Unit Price | 160 | Looked up automatically | LOT_LEVEL_POSITION.OPEN_MKT_PRICE TRADE.PRICE |
| Original Price | 893 | Enter the unitized discounted URGL | ORIGINAL_PRICE |
Reporting
STAR to PACE (S2P)
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