Cash Flow Mapping and Settlement
- The Challenge facing traders is that the instruments they trade are ever evolving often with increasing complexity and diversity. This is true in capital markets with exotic asset and mortgage backed securities, and in physical energy and electricity markets with exotic retail contracts.
- What traders need is the ability to define within minutes, such trades and enter their valuation rules by simple configurations in a user friendly interface and without the need for any programming.
- QR Settlement and Valuation Engine uses advanced computational technology and architecture to handle these complexities with utmost flexibility and higher performance.
QR Settlement Valuation Engine computes historical cash flow by calculating the actual cash flows of all deal curves, including main cash flow of a deal, and all market charges and fees, across as many curves and complex index formulas as required. There are two valuations perspectives blended smoothly into one continuous cash flow stream, and you can drill down to see both:
- From yesterday backward you can go to any fine details you desire, such as subdaily data (meter reading and hourly prices), daily and monthly to settle a transaction for billing and invoicing.
- From today until end of currently month we do daily and monthly; and for all future months we do only monthly calculations. The valuation engine performs all calculations in a homogenous way in one continuous time curve, flowing from the past or settled portion, to the future, for mark to market or expected / forecasted cash flow and earnings valuation.
Settlement Ledger
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Settlement can be scheduled as an automated task, to run per portfolio layer, at a given time of the day.
Various billing and invoicing reports can then be scheduled to run after each settlement run, and reports scheduled to be emailed to appropriate departments.
Various billing and invoicing reports can then be scheduled to run after each settlement run, and reports scheduled to be emailed to appropriate departments.
Cash Flow Mapping allows you to type, in a user friendly mathematical formula editor, your own valuation rules for the settlement and
cash flow computation of each security type. The formula can be any complex mathematical expression involving curves on various volumes,
prices, fees, charges and other quantities pertinent to a security type, including mixed indices.
For example consider the valuation rule of a fuel index electricity deal:
For example consider the valuation rule of a fuel index electricity deal:
Fuel Index = [ Biweekly Average Fuel Oil ] * [ Monthly Average FX USD EUR ] * [ Yearly Heat Rate Curve]
In addition, you can also perform algebraic operations across cash flow rows to create any desired intermediate valuation steps, or subtotals along the way. You can thus insert, manipulate, regroup, and organize valuation rows to create any desired settlement and cash flow income statement ledger. Nothing is predefined.
Cash Flow Mapping
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Scheduling Settlement and Report Runs
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