Is It Possible to Change the Way FTP Does Term Conversion for Yield Curves? (Doc ID 2934464.1)

Last updated on MARCH 28, 2023

Applies to:

Goal

Would like to implement the following three possible cases for FTP straight term transfer pricing – term conversion:

- Case 1: leap year
- Case 2: customized number of 1 month (can be identified based on the actual calendar)
- Case 3: term can be a range of days

For example, FTP will covert terms from a standard yield curve loaded into Rate Management:

However, would like the term conversion with the three following possible scenarios:

The yield curve for Case 1 above should look like the following instead of first image above:

How to accomplish this using FTP functionality?

Solution

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