30.1.1 Transfer pricing for Future Dated Instruments

Calculating Implied Forward TP rates is possible from an FTP Standard Process.

The base FTP rate quoted on the Commitment Start date is calculated using the Current Forward Rates corresponding to the tenor of the Rate Lock Period requested and the Fixed-Rate Loan period/Payment Frequency based on the TP method selected. If an instrument record has a commit_start_date <= As_of_Date and Origination_Date > As_of_Date, then FTP generates implied forward rates based on the Commit_Start_Date spot IRC Curve.