7.11 Market Value Calculation

• Cash Flow Inputs
• Interest Cash Flow (Net, Gross, or Transfer Rate)
• Total Runoff
• Repricing Balance
• Deferred Runoff
• Interface Inputs
• Discount Methods
• Forecast Rates

You can ignore the "initial principal amount on forward-starting instruments" if required.This helps you to origination principal to be considered in the calculation of market value and their exposure derivatives (e.g. duration, convexity, YTM, and so on).

This allows you to decide to consider the initial origination Cash Flows for forward-starting instruments in the calculation of market value and exposure derivatives. If you select "initial principal amount on forward-starting instruments"check-box in Discount Method UI, then CFE will ignore the first (origination) Principal Cash Flow on a forward-starting instrument in the calculation of market value and exposure derivatives.

Generally, a financial instrument is a string of Cash Flows consisting of Principal and Interest Amounts. All of these cash flows normally share the same sign (i.e. all positive or negative). However, in the case of a forward-starting instrument, the initial principal is usually the opposite sign to signify the outlay (or acquisition) of cash. When calculating the market value or exposure derivatives of such a forward starting instrument, all these cash flows including the initial negative principal amount are considered together.