[R-SIG-Finance] Blotter and FinancialInstruments on multicurrency portfolios

[Brian G. Peterson]

On Mon, 2012-04-09 at 16:00 -0300, Barrios, Sergio Julian wrote:
> BIG ISSUE 1)
> 
> If I trade bonds, the mark to market is fine, but what if I do time
> deposits ? I need to mark to market using the accrued interest not the
> market price. Is there an elegant way to perform this end of day
> valuation?

No.  Mark to market is done on price.  

This is correct, as far as it goes, because the price is still important
in a bond portfolio.  It does not take accrued interest into account.
You'd need to add those as cash transactions.
> 
There are some functions for additions, withdrawals, and dividends, but
they are nowhere near complete.  Daily Accrued interest should be
handled in much the same way as dividends, I think. Patches welcome.

> BIG ISSUE 2)
> 
> I perform daily trades on currencies (Spot market). As these type of
> trades change my cash balances. How could I do that?. Even though I
> could think about using the forwards (as an Instrument) to perform
> these trades, Is there an elegant way perform these tasks?
> 
Yes, do transactions in the spot currency pairs, this should will work
fine.

> BIG ISSUE 3) 
> 
> This guy Wolfgang Wu wobwu22 at yahoo.de <mailto:r-sig-finance%
> 40stat.math.ethz.ch?Subject=Re%3A%20%5BR-SIG-Finance%5D%
> 20Multi-currency%20example%20for%20blotter&In-Reply-To=%
> 3C457073.5587.qm%40web23408.mail.ird.yahoo.com%3E> Fri Mar 26 14:52:43
> CET 2010  asked about how can be done the overall valuation of the
> investments in a certain numerarie (USD, but also I could think about
> a currency basket). The answer at that time, was "there is no answer".
> Is there any news regarding this topic?
> 
Yes, that functionality is, I believe, complete.  Portfolios each have a
currency, and so do accounts.  The 'summary' table in the portfolio,
which didn't exist at the time of the thread you mention, will mark all
the positions to the portfolio currency.

Regards,

   - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock