Articles in this section

Introduction

In the following sections we will describe the configuration settings for each treasury measure. All users are able to view the configuration files that apply to their organisation however these files can only be edited by Vector Risk personnel.



Treasury Measures

Mtm and Reconciliation

• Each trade is valued with rates selected in the order determined by the rate source list in the assumptions object.
• Trades that cannot be valued are identified by source system and source id.
• The user is able to set up reconciliation rules at the product or global level making it easy to spot any deviation from front or back office pricing.

Decomposition

• Compares your portfolio on two different dates, identifying maturing and new trades.
• Reports the change in value that is due to market rate movements, theta (time decay), maturing trade valuations and new trade valuations.