TRS Price Conversion Processing Notes

For some total return swaps (TRS), such as long-date contracts, there may be a need to apply a discount factor to the valuation derived purely from the underlying. Beginning in V17 R2.41, price conversion functionality is available to convert a dirty discounted market value (URGL) to a unit price as required by Eagle Accounting. The calculated price is used for both valuation and resets. If you need to use different prices for valuation and resets, see TRS Separate Reset & Valuation Prices Processing Notes. This can be used alongside the price conversion functionality described here.

Price conversions are available in Add Issue Price Conversion, Edit Issue Price Conversion, and Add/Edit Price Exchange Conversion. There is logic to take the dirty discounted URGL, find the entity that holds the TRS, back out the accrued interest, convert to a unit price, and add back the unit cost. The components used to calculate the price are stored in the PRICE or PRICE_EXCHANGE table for audit purposes (excluding Open Unit Price, Return Leg Shares, and Accrued PTD Local). The other components can be pulled from the tables referenced below.