info@tools4f.com | +420 604 294 866

   
     
 
 

Models in Prophet

1. Introduction and objectives
The project contains creation of complex and stable SW tool (in Prophet environment) to project monthly development of

  • cash flows,
  • market values, amortized costs, accrued interests and other book figures,
  • PL and BS and other reporting figures,
  • duration, convexity and other assets characteristics,
  • Yield indicator

for current portfolios of financial instruments and their reinvestments as well as the reinvestments of defined external cash flow.

This tool is applicable for consistent analysis within the following areas:

  • ALM risk management,
  • Solvency II calculations - esp. standard formula,
  • automatization of the planning process,
  • (re)investment strategy testing.

2. Financial instruments to be in scope
The following financial instruments are intended to be in scope

  • fix coupon (bond),
  • floating coupon (bond),
  • deposit,
  • current account,
  • saving account,
  • government treasury bills (T-bills),
  • IRS (Interest rate swap),
  • FX swap (Foreign exchange swap),
  • forward,
  • Share (probably simplified as fixed-income instrument).

3. Calculation inputs
The inputs to the calculations are

  • list of financial instruments - current portfolio of assets,
  • yield curves split to financial sector (e.g. governments bonds, corporate bonds, etc.) and separately for each currency in scope,
  • future FX rates.

If reinvested portfolio is required to be modeled as well than these inputs are also required:

  • set of financial instruments to be used for reinvestments - similar info as for the existing portfolio,
  • definition of the reinvestment strategy for the cash flow arisen from the current assets portfolio,
  • monthly external cash flow development and its reinvestment strategy definition.

4. Outputs
The tool calculates these outputs:

  • Monthly development for defined instruments individually
  • Monthly development for current portfolio (all instruments) grouped by portfolios, sectors, type of the instrument or accounting classification
  • Monthly development for reinvestments of cash flow generated by the current portfolio grouped by portfolios, sectors, type of the instrument or accounting classification
  • Monthly development for reinvestments of external cash flow grouped by portfolios, sectors, type of instrument or accounting classification

Monthly development is projected to unlimited number of future years.
For each month the following figures are calculated (and stored):

  • Clean Market Value
  • Accrued Interest
  • Dirty Market Value (DMV) = Clean Market Value (CMV) + Accrued Interest (AI)
  • Amortized Prices (AP) = Clean Price calculated from YtM validated at purchase date
  • FX Differences
  • Modified Duration

All of the figures are calculated at the beginning of month as well as at the end of month.

   
 
   
Contact us

Office
t: +420 604 558 695
e: info@tools4f.com

Martin Janeček
t: +420 604 294 866
e: janecek@tools4f.com

 
 
 
 

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