Fair Value

• Forward curves and prices can be uploaded or manually entered by the user
• Mark-to-Market values can be computed or imported into the system
• Fair values are calculated for underlying exposures and derivatives: daily, monthly or quarterly
• Exchange-traded instruments are fair valued using market quoted prices
• Forward contracts are fair valued using forward rates and present values
• OTC options are fair valued using Black & Scholes
• For options, the fair value can be bifurcated into intrinsic & time value

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