16.1.3 Present Value Calculation

Say there are ‘n’ instrument records under a product leaf, and there is’ product leaf under a specific reporting currency. There are ‘i’ rate path passed. Each instrument record ‘n’ has a ‘k’ payment date.

The present value of nth instrument record for kth payment date, for ith rate path, is calculated as = Cash Flows * Discount Factor, for nth instrument record for kth payment date, for ith rate path.

CFE would sum Present Value of all payment event of nth instrument record, for ith rate path to derive Present Value of nth instrument record for ith rate path.

CFE would calculate the Present Value of the nth instrument record for all rate paths.

CFE would aggregate Present value for all instrument records falling under mth Product Leaf for ith rate path. Similarly, CFE would aggregate Present Value for all instrument records falling under mth Product Leaf for other rate paths.