Deal pricing models are predefined for each deal type. You can define new pricing models for any deal type that has a Fair Value pricing model.
| Deal Type | Deal Pricing Model |
|---|---|
| Bond Option (BDO) | Fair Value: User entered fair value. No Revaluation |
| Bond (BOND) | Fair Value: User entered fair value. Market: Calculates the value of the bond using the revaluation rate. (Revaluation Rate/100) * Face value of deal. No Revaluation |
| Current Account Balance (CA) | Face Value: Balance. No Revaluation |
| Deal Orders (DO) | No Revaluation |
| Equities (STOCK) | Fair Value: User entered fair value. Market: Calculates the value of the bond using the revaluation rate. No Revaluation |
| Exposures (EXP) | No Revaluation |
| Forward Rate Agreements (FRA) | Fair Value: User entered fair value. FRA Discount: Present value of the deal using the contract and implied forward/settlement rate. Note that this pricing model is used for FRA deals priced in Australia or New Zealand dollars. FRA Yield: Present value of the deal using the contract and the implied forward/settlement rate. No Revaluation |
| Foreign Exchange Contracts (FX) | Fair Value: User entered fair value. Market-Deal: Compares the current market rate to the transaction rate. GL-Deal: Compares the GL daily exchange rate to the transaction rate. No Revaluation |
| Foreign Exchange Options (FXO) | Fair Value: User entered value. Garman Kohlhagen (Modified Black-Scholes) (Hull, John C. Options, Futures, and Other Derivatives. 3rd ed. Prentice Hall, 1997): No Revaluation |
| Interaccount Transfers (IAC) | No Revaluation |
| Intercompany Transfers (IG) | Face Value: Balance of deal. No Revaluation |
| Interest Rate Options (IRO) | Fair Value: User entered fair value. Black (Black-76) (Hull, John C. Options, Futures, and Other Derivatives. 3rd ed. Prentice Hall, 1997) No Revaluation |
| Interest Rate Swaps (IRS) | Fair Value: User entered fair value. Discounted: Calculates the net present value of the deal using the discount rates from the yield curve. No Revaluation |
| Negotiable Securities (NI) | Fair Value: User entered fair value. Discount: Calculates the value of the deal using the current market discount rates from the yield curve. Note that effective interest is deducted from calculated gain or loss. No Revaluation |
| Short Term Money (ONC) | Face Value: Balance of the deal. No Revaluation |
| Retail Term Money (RTMM) | No Revaluation |
| Interest Rate Swaption (SWPTN) | Fair Value: User entered fair value. No Revaluation |
| Wholesale Term Money (TMM) | Discounted Cashflow: Calculates the net present value of all future cash flows including principal changes and coupon payments adjusted by the current accrual balance. Fair Value: User entered fair value. No Revaluation |