Pricer Measures

You can define any pricer measure with the class tk.pricer.PricerMeasureFromDB.

In this case, this pricer measure is priced using PricerFromDB, regardless of the pricer associated with the product.

PricerFromDB has two modes of operation:

Example: You are pricing Swaps with PricerSwap, and computing ACCRUAL, NPV, and NPV_CPTY. If NPV_CPTY is defined with the class tk.pricer.PricerMeasureFromDB, ACCRUAL and NPV are computed using PricerSwap, and NPV_CPTY is computed using PricerFromDB.

This pricer measure is convertible by default unless it is added to domain "PricerMeasureFromDB_NOCONVERT".

When using PricerFromDB for allocated trades, you can create a custom pricer measure that uses the class name tk.pricer.PricerMeasureAllocatedFromDB to automatically allocate the NPV of the parent trade to the child trades based on the allocation percentage.

Example:

NPV_EXTERNAL, ID = 6101, Class Name = tk.pricer.PricerMeasureAllocatedFromDB

If NPV_EXTERNAL on parent trade is 100,000, and the allocation created Child Trade 1 for 60% and Child Trade 2 for 40% - EXTERNAL_TRADE is set to 60,000 on Child Trade 1 and 40,000 on Child Trade 2.

Accrued interest, which is the proportion of interest or coupon earned on an investment from the previous coupon payment date until the value date.

This does not require a quote in order to be calculated.

For Swaps, the computation method depends on the pricing parameter ACCRUAL_BOND_CONVENTION.

For uneven FX swaps, see pricing parameter IS_UNEVENFXSWAP_ACCRUAL_QUOTING.

Except for Bonds, ACCRUAL_BO is the same as Accrual. For Bonds, ACCRUAL_BO is the accrual computed on Valuation Date for same date (as opposed to the accrual of the Bond that computes the value adjusted for the settle days).

Accrual based on the borrow rate, for repo and security lending trades.

Accrual calculated based on the valuation date, without any adjustment such as spot settlement days and ACCRUAL_FIRST.

 Ⓘ   [NOTE: This pricer measure is for internal use only]

Interest Bought-Sold on a trade.

JGB Repo Trades

The sum of ACCRUAL and ACCRUAL_BORROW (amounts are in opposite directions).

Security Lending Trades

= INDEMNITY_ACCRUAL - ACCRUAL + REINVESTMENT_ACCRUAL

For Revolver bonds, the value of the drawn part of the coupon on valuation date.

Class tk.pricer.PricerMeasureACCRUAL_EIR.

Structured Flows, Swaps, SwapCrossCurrency, and SwapNonDeliverable

For the products listed here with two legs, results are split by ACCRUAL_EIR_PAYLEG and ACCRUAL_EIR_RECLEG, their sum being ACCRUAL_EIR.

Valuation at amortized cost using pricer measure IRR.

The pricing parameters EIR_FORECAST_RATES, EIR_USE_RESET_DATE and EIR_INCLUDE_FEE impact the computation of ACCRUAL_EIR.

Accrual EIR for the Receive leg.

Class tk.pricer.PricerMeasureCredit.

Calculates the accrual for the finance leg of an IOS Index trade. Calculated as Notional * Index * Price * Period (Factor/100/Daycount).

Accrual from the last coupon payment end date (Pmt End Date) until the valuation date plus one business day.

On inflation indexed bonds, ACCRUAL_FIRST takes into account one extra day of inflation adjustment.

When trading book attribute EODWeek = True, ACCRUAL_FIRST is until Monday.

When trading book attribute EODWeek = False, ACCRUAL_FIRST is until Friday + 1 Day if pricing parameter FIRST_ACCRUAL = True, or until Friday if pricing parameter FIRST_ACCRUAL = False.

For Swaps, the computation method depends on the pricing parameter ACCRUAL_BOND_CONVENTION.

Same as ACCRUAL_FIRST on the pay leg (mainly used for swaps).

For Swap trades.

ACCRUAL_FIRST of Pay Leg of a terminated Swap as of the Termination Date. Zero for Swap trades with status not equal to TERMINATED.

Same as ACCRUAL_FIRST on the receive leg (mainly used for swaps).

For Swap trades.

ACCRUAL_FIRST of Rec Leg of a terminated Swap as of the Termination Date. Zero for Swap trades with status not equal to TERMINATED.

Retrieves Interest Bearing and sums the daily interest for a report val date.

Class tk.pricer.PricerMeasureCredit.

Calculates accrual for the performance leg of an IOS Index trade. Calculated as Notional * Coupon Rate * Period * (Factor/Daycount).

Same as ACCRUAL on the pay leg (mainly used for swaps).

For Swap and Performance Swap trades.

ACCRUAL of Pay Leg of a terminated Swap as of the Termination Date. Zero for Swap trades with status not equal to TERMINATED.

To calculate accrual on flows from the payment date of the previous flow (or its start date if it is the first) to the payment date of the current flow rather than using the start and end dates of the flow.

PA: projected amount

PDt: payment date of previous period

PDn: payment date of current period

ACCRUAL_PAYMENT = PA * (Val date - PDt)/(PDn - PDt)

On a Call Notice, it will compute the Accrual without taking into account the interest capitalization.

ACCRUAL_PAYMENT including the day of the calculation.

PA: projected amount

PDt: payment date of previous period

PDn: payment date of current period

ACCRUAL_PAYMENT_FIRST = PA * (Val date - PDt+1)/(PDn - PDt)

Same as ACCRUAL_PAYMENT_FIRST on the pay leg (mainly used for swaps).

Same as ACCRUAL_PAYMENT_FIRST on the receive leg (mainly used for swaps).

Same as ACCRUAL_PAYMENT on the pay leg (mainly used for swaps).

Same as ACCRUAL_PAYMENT on the receive leg (mainly used for swaps).

Fixed Income:

Applies to fixed income trades using a daily compounded RFR index. Displays the current period calculated accrual rate based on observations until the settlement date for calculation of the current accrual. Note that it will not display when the settlement date is before the value date. Currently only applicable for Bloomberg Data License imported bonds.

Interest Rate Derivatives (Swaps, CapFloor) and Structured Flows:

• ACCRUAL_RATE which will display the rate used to arrive at the Accrual value for Structured Flows and CapFloor. For swaps the trade level ACCRUAL_RATE will be blank.

• ACCRUAL_RATE_PAYLEG which will display the rate used to arrive at the Accrual value for pay leg of Swaps including SwapCrossCurrency and SwapNonDeliverable

• ACCRUAL_RATE_RECLEG which will display the rate used to arrive at the Accrual value for receive leg of Swaps including SwapCrossCurrency and SwapNonDeliverable

The accrual rate is backcalculated based on the below formula:

1. When Payment Calculation method is NONE:

   Accrual rate = ACCRUAL_BO / (Day count fraction x Notional)

    

2. When Payment Calculation method is EXP with Multiplicative Spread:

   Accrual rate = ((ACCRUAL_BO/Notional + 1) ^ (1/day count fraction))-1

    

Rounding of ACCRUAL_RATE pricer measure will be as below:

• For Dly Cmp and Dly Avg trades, ACCRUAL_RATE value will be rounded to 5 decimals.

• For Non-Dly Cmp and Non-Dly Avg trades, ACCRUAL_RATE value will be rounded to 4 decimals.

• Rounding will be based on NEAREST method.

For Swap and CDS trades.

Interest accrual from pay leg + interest accrual from receive leg on val date = trade date (for the upfront).

For Swap trades.

Interest accrual from pay leg on val date = trade date (for the upfront).

For Swap trades.

Interest accrual from receive leg on val date = trade date (for the upfront).

Applies to Fixed Income, Structured Flows, Swaps, SwapNonDeliverable, and SwapCrossCurrency.

Accrual B/S + Total Interest paid/received on the position (also available for Day, Month, Year, etc).

Use the “ACCRUAL_BO” or ACCRUAL_SETTLE_DATE” pricer measures to get the current accrual amount.

Same as ACCRUAL_REALIZED on the payment leg.

Same as ACCRUAL_REALIZED on the receive leg.

Same as ACCRUAL on the receive leg (mainly used for swaps).

For Swap and Performance Swap trades.

ACCRUAL of Rec Leg of a terminated Swap as of the Termination Date. Zero for Swap trades with status not equal to TERMINATED.

Accrual from the later of the last coupon payment date or the trade settlement date until the valuation date (if pricing parameter FIRST_ACCRUAL = false or is not specified), or the valuation date plus one business day (if pricing parameter FIRST_ ACCRUAL = true).

Class tk.pricer.calculators.PricerMeasureBond.

ACCRUAL_SETTLE_DATE_WHT = ACCURAL_SETTLE_DATE * WHT Rate

WHT Rate comes from the Withholding Tax Configuration.

For Swap, Performance Swap, CDS, CDS Index, Cap, Floor, Collar trades.

Calculated if trade keyword TerminationTradeDate is not empty, or if trade status = TERMINATED. Otherwise returns 0.

Interest accrual from receive leg + interest accrual from pay leg on val date = TerminationTradeDate

For Swap and Performance Swap trades.

Calculated if trade keyword TerminationTradeDate is not empty, or if trade status = TERMINATED. Otherwise returns 0.

Interest accrual from pay leg on val date = TerminationTradeDate

For Swap and Performance Swap trades.

Calculated if trade keyword TerminationTradeDate is not empty, or if trade status = TERMINATED. Otherwise returns 0.

Interest accrual from receive leg on val date = TerminationTradeDate

For CDS, CDS Index, Cap, Floor, Collar trades:

ACCRUAL at termination effective date

For CIRS and Performance Swap:

ACCRUAL_PAYLEG_TERM + ACCRUAL_RECLEG_TERM

For revolver bonds, the value of the undrawn part of the coupon on valuation date.

Accrual calculated based on the later of trade settle date and theoretical/spot settle date (calculated from the valuation date). It is calculated as ACCRUAL per one unit of notional.

Class tk.pricer.calculators.PricerMeasureBond.

ACCRUAL_WHT = ACCURAL * WHT Rate

WHT Rate comes from the Withholding Tax Configuration.

Calculates the interest on the Security, based on the YIELD implied by the trade price. For example, if a 6% Bond is bought at a price of 103, the expected YIELD would be 5.6%. ACCRUAL_YIELD is computed on a daily basis.

Accrual / interest / paydown pricer measures for Brady bonds - They must be added manually. The class is tk.pricer.PricerMeasureBondBrady, and the id should be an id not already in use.

<pricer measure>_NOPIK = <pricer measure> - <pricer measure>_PIK

The <accrual>_PIK and <interest>_PIK pricer measures compute the PIK accrual / interest, based on the capitalization rate.

The <paydown>_PIK pricer measure is the paydown of the capitalized PIK interest.

For example, ACCRUAL_FIRST_PIK and ACCRUAL_FIRST_NOPIK.

ACCRUAL_FIRST_NOPIK = ACCRUAL_FIRST - ACCRUAL_FIRST_PIK

For Call Notice and Loan & Deposit.

Interest for life of trade, i.e. from trade start date to valuation date.

Shows actual inventory position for Call Account ID on val date. Only available in the Trade Browser.

Sum of the break-even spreads of the un-defaulted reference assets.

The pricer measure is calculated for a given fee when the Fee Definition attribute AnnualizedFeeRate is set to true.

ANNUALIZED_FEE_RATE is calculated as:

Annualized Fee Rate = Sum of absolute value of fees/ (tenor based on position start date * sum of absolute notional of all trades)

The spread over the floating Leg in a 'Par/Par' Asset swap which will result in a 0 NPV. The Floating Index should be user specified in the Pricing Environment.

When a call schedule is defined, it is calculated up to next call date rather than trade maturity date.

Asset swap spread computed using the Proceeds method.

The Proceeds method involves the adjusted notional value of IR swap (for the fixed side, the coupon is adjusted accordingly so in the end it still consists of the same cashflow). At maturity the bond is returned to the asset swap seller for the initial proceeds.

Asset swap spread relative to a given reference index specified in the pricing parameter ASSET_SWAP_SPREAD_REF_INDEX.

When the pricing parameter ASSET_SWAP_SPREAD_REF_INDEX contains a reference index in a currency different from which of the bond, the pricer measure ASSET_SWAP_SPREAD_REF models a cross currency swap.

Average monthly price for one unit of the commodity.

Average price for one unit of the product.

Used in PLPosition and EOD_WAC.

Clean average price of the position taken directly from the position (unit price). The display is based on the bond's quote type and number of decimals.

Used in PLPosition.

Dirty average price of the position taken directly from the position (unit price) plus accrual . The display is based on the bond's quote type and number of decimals.

For Nth Loss CDS pricers:

Notional-weighted average recovery of all the non-defaulted assets in the basket.

For CDS pricers:

Recovery rate used for pricing the trades.

For CDS option pricers:

It is calculated for the option’s underlying CDS. For basket CDS, it is the weighted average of the recovery rates of the curves used in pricing. For single-name CDS or CDS Index from quote, it shows the one recovery rate used in pricing.

Index valued as a Basket. The B/E Rate is obtained for each underlying and then averaged.

Weighted average of the spreads of the un-defaulted reference assets.

Average Yield computed from the Average Price for Bond positions. The Average Yield is rounded as per the Yield Decimals of the Bond Definition.

Break Even price for commodities that solves for NPV = 0.

The Break Even rate is the average interest rate at which a zero profit is recorded. It is represented by NPV = 0 and it is the price of the underlying that solves for the target product NPV.

Only used on the Pricing Grid.

Uses a valid tenor or a specific date to find the baseline val date. Diff values are displayed as base points and represent the difference between the current value and the value for the given baseline val date and time.

Break-even ratio for a BMA swap, which is characterized as float vs. float and one index is a factor index. The system solves for the factor rather than the additive spread.

Used for Swap and European Swaption

Represents the Spot B/E Rate for a Swap or the swap underlying a European Swaption for the remaining maturity of the swap.

The attachment correlation used to price the tranche.

The detachment correlation used to price the tranche.

The basket forward rate calculated by the Basket Approximation model.

The basket spot rate calculated by the Basket Approximation model.

The basket volatility calculated by the Basket Approximation model.

For a bond trade where the underlying issue is defined as being priced as a spread, this is the spread (it should be the same as the Quote).

When a call schedule is defined, it is calculated up to next call date rather than trade maturity date.

The Beta between the Stock and Reference Index for the Valuation Date.

The DELTA pricer measure adjusted for Beta (pm.DELTA * pm.BETA).

The specified index to be used to calculate the beta.

The implied correlation which will result in 0 NPV.

Ratio of the break-even rate to the AGGREGATE_SPREAD, expressed as a percentage (obtained by pricing the index as a 0-100% basket).

Applies to bond pricing. The spread between bid and ask quotes.

The Black equivalent volatility.

The BOOK_VALUE is intended to reflect the cost of obtaining a given position or open trade. Where this applies, P&L can be calculated as the difference between BOOK_VALUE and MARKET_VALUE.

Standard Method - Pricing parameter BV_ALTERNATE = False

BOOK_VALUE = (nominal * purchase price) + accretion to date + accrued coupon to date

Settle date positions are used. Long positions give a positive result, and short positions give a negative result.

BOOK_VALUE = start cash + accrued interest to date

All open trades. Reverse repos and buy-sell backs give a positive result; repos and sell-buy backs give a negative result; loans give a positive result and deposits give a negative result.

BOOK_VALUE = NPV

BOOK_VALUE = Number of shares * Average trade price

BOOK_VALUE = Number of shares * Option premium average trade price

BOOK_VALUE = Average trade price in ticks * Value per tick

BOOK_VALUE = Number of contracts * Option premium  average trade price

BOOK_VALUE = Notional amount in base currency * Option premium average trade price

Alternate Method - Pricing parameter BV_ALTERNATE = True

(Only applies to Bond and MMSimple, for other products, see Standard Method.)

BOOK_VALUE = Notional * Factor * (Average clean price + Accrued coupon to date)

Trade date positions are used.

Displays the borrow spread used in pricing the equity derivatives trade, either from the borrow curve or enter manually in the BORROW_SPREAD transient pricing parameter.

The equivalent basis point (annualized) volatility.

Calculates the Yield of a bond, similar to the Moosmueller method, but in the case of bonds that pay coupons more frequently than annually, it uses a mixture of annual and less than annual compounding.

Out-of-the-box, no pricer calculates this pricer measure.

Intex pricers to price ABS bonds.

Default rate for a tranche's first writedown.

For a Real Rate swap using calculation type Inflation Indexation, this pricer measure will display the break even fixed rate. Typically, one leg of a real rate swap pays a floating interest rate like LIBOR and the other leg pays a fixed rate and is inflation indexed.

Fixed rate on the inflation indexed leg of a real rate swap.
Uses a valid tenor or a specific date to find the baseline val date. Diff values are displayed as base points and represent the difference between the current value and the value for the given baseline val date and time.

Break-even rate for the pay leg and break-even rate for the receive leg.

Same as B/E_Ratio for the rec leg and the pay leg for solving for index factor.

Class tk.pricer.PricerMeasureCACost.

Cross asset cost.

See CA_COST - Details per Product Class for details.

Class tk.pricer.PricerMeasureCAMarketPrice.

Cross asset market price.

See CA_MARKET_PRICE - Details per Product Class for details.

Class tk.pricer.PricerMeasureCANotional.

Cross asset notional.

See CA_NOTIONAL - Details per Product Class for details.

Class tk.pricer.PricerMeasureCA_PV.

CA_PV is the net present value ignoring all fees and upfront costs.

When CA_PV is computed, NPV_INCLUDE_COST = False, regardless of its setting in the pricing parameters set.

If INCLUDE_FEES=True, CA_PV = NPV - FEES_NPV

Else CA_PV = NPV

 Ⓘ   [NOTE: The CA_PV pricer measure is not currently implemented for ETOs and Future Options]

Bond Trades

For bond trades, the pricer measure NPV_DISC is used instead of NPV.

CDS Trades

CA_PV includes projected fees, irrespective of INCLUDE_FEES, on CreditDefaultSwap, CDSNthDefault, CDSNthLoss, CDSIndex, and CDSIndexTranche trades.

Commodity Forward Trades

If Cash Settle Date <= Val Date < Physical Settle Date

Cumulative_Cash = Price from Commodity flow * Quantity

NPV_INCLUDE_COST = True, NPV_INCLUDE_COST_AFTER_SETTLE = True,

NPV_INCLUDE_CASH = True

CA_PV = Projected Price from Security Flows * Quantity

When valuation date is on or after the security cashflow settle date (i.e. the physical settle date), then the CA_PV calculation shifts to position.

Commodity Spot Trades

CA_PV (before/on/after settlement) = Price (Spot/forward price depends on pricing parameter "NPV_FROM_QUOTE")*Quantity

Class tk.pricer.PricerMeasureGenericFee.

CA_PV (computed with INCLUDE_FEES = FALSE)+ UPFRONT + PREMIUM.

Class tk.pricer.PricerMeasureGenericFee.

CA_PV (where INCLUDE_FEES = FALSE) - ACCRUAL + UPFRONT_FEE_REMAIN + PREMIUM_REMAIN.

Now, CA_PV_NET_COST_AM pricer measure is only supported by:

- CreditDefaultSwap

- CDSIndex

Class tk.pricer.PricerMeasureCAQuantity.

Cross asset quantity.

*This pricer measure is convertible if a currency is set on the pricer measure.

See CA_QUANTITY - Details per Product Class for details.

Class tk.pricer.PricerMeasureCalibrationResults.

OFM generator results of the calibration.

Double-click the pricer measure to open a window summarizing which swaptions were used for the calibration of the model volatilities and the two swaptions, marked SHORT and LONG, for calibrating the mean reversion.

The time taken, in milliseconds, by the analytics routine to calibrate the model.

Credit Derivatives pricers.

CARRY = ACCRUAL_BO (t+1 business day) - ACCRUAL_BO (t)

If t+1 is a coupon period start date then add the last coupon amount.

Sum of all the cashflows occurring on the Valuation Date.

Class tk.pricer.PricerMeasureCashBase.

Currency type of cashflow.

FX Options. Displays the delta for cash (premiums and fees on the options).

PricerBondAssetBackedAUD.

Floating benchmark rate to the next interest rate reset date.

Class tk.pricer.calculators.PricerMeasureBond.

The SWAP_RATE and CASH_RATE are derived from the forecast curve and not the discount curve.

CASH_RATE_01 is the sensitivity to a 1 bp increase of the CASH_RATE.

CASH_RATE_01 = PV_AFMA (〖Cash_Rate〗+1bp)-PV_AFMA (〖Cash_Rate〗)

CASH_YIELD, like ACCRUAL_YIELD, returns the interest on the security, computed based on the Yield implied by the Trade Price. For example, when a 6% Bond is purchased for a price of 103, the Yield expected is 5.6%. CASH_YIELD is computed on the Interest Date.

The CDS Index basis (obtained by pricing the Index as a 0-100% basket). This is calculated by adjusting the probability curves and so that the BE_RATE is equal to the IMPLIED_SPREAD.

CDS premium amount.

Applies only to Risky Bonds.

CDS quote taken from the probability curve for a given tenor. The tenor is set in the pricing parameter CDS_QUOTE_TENOR.

Applies only to Risky Bonds.

This used to calculate the CDS level if the Bond is to be hedged with a CDS. If the bond uses a probability curve generated from CDS spreads, it calculates the break-even spread for the (hypothetical) CDS underlying the curve with the same maturity date as the bond. The CDS is priced using the probability curve in the PricerConfig associated with that CDS, which is usually (but not forced to be) the same as the probability curve of this bond.

Applies to early termination of Commodity Index Swaps. Returns the results using the discounting method. Discount the net cashflow at the original termination date back to the early termination date using the LIBOR curve.

Applies to early termination of Commodity Index Swaps. Returns the results using the P&L method. Net the P&L at the early termination date without discounting. Index amount is calculated using the index level at the early termination date. Fixed amount and interest amount are calculated, up to and including the unwind termination date. The unwind P/L is the net of all these 3 amounts.

Book Value of a position based on Clean Price.

Position clean realized.

Position clean unrealized.

Class tk.pricer.PricerMeasureBond.

Specific to the Colombian market. Linear daily accrual of the tax amount.

Class tk.pricer.PricerMeasureBond.

Specific to the Colombian market. Linear daily accrual of the tax basis. It is set to zero when the val date is less than or equal to the settle date.

PricerSwapLGMM1F – Pricing of cancelable swaps with Bermudan schedule.

It allows viewing the NPV of the swap and the NPV of the swaption separately.

Returns the conversion rate needed to go from pricing currency (NPV) to base currency as defined in the pricing environment.

Product and Static Data details are taken into account

For FX Forward and FX NDF trades, the Pricing Currency trade attribute value is used as the "from currency" for the pricing environment base currency conversion factor when the environment property CONVERSION_FACTOR_MSR_FROM_PRICING_CURRENCY is set to true.

Measures the curvature of a bond's price/yield curve. Mathematically, it is the ratio of the second derivative of the price with respect to the interest and the dirty price, or, (d2 P/d i2)/dirty price.

Calculated by PricerCorrelationSwap. Numerically shift the Correlation Matrix by 1% up and return the difference in NPV from this shift and the central case.

When pricing an exotic single swap, you can examine the coupon payoff using the pricer measure COUPON_PAYOFFS.

The coupon payoffs are held in client data.

Position cash.

Class tk.pricer.PricerMeasureCumulativeCash.

New pricer measures can be added as CUMULATIVE_CASH_CashFlowType (e.g. CUMULATIVE_CASH_INCOME) using Configuration > System > Add Pricer Measure, which would calculate the Cash component due to the particular cashflow type.

In case of amortized schedules - Current notional of the pay leg and receive leg respectively.

Class tk.core.TabularPricerMeasure.

Can be added to all CRD trades - Allows a break-down of the results per currency.

Class tk.pricer.calculators.PricerMeasureBond.

Shows the rate used to calculate bond accrued interest for the current period.

Generally, CURRENT_ACCRUAL = CURRENT_COUPON, except for Mexican BONDES.

Shows the effective rate for a floating rate bond. If the rate has not been reset, it is empty. For a fixed rate bond, it shows the fixed rate.

For Margin Call products it returns:

- The effective rate of the underlying bond, including spread for floating flat rate bonds. If the rate has not been set, only the spread is returned.

- The effective fixed rate of the bond for fixed rate bonds.

For PricerSwap

These measures display the forward rate + spread from the coupon period on which the valuation date falls.

For PricerAssetSwap

On the Asset Leg of an Asset Swap, the pricer pulls results from the CURRENT_COUPON pricer measure used with PricerBond. On the Funding Leg, the pricer gets results for either the PAYLEG or RECLEG as described above for Swaps.

For call notices:

For equity stocks:

For OTC:

For ETO:

For Future Equity and Future Equity Index:

Current Notional(T) = Tick Size * Tick Value * Future Price(T) * Trade Quantity

Current Notional(T) = Tick Size * Tick Value * Future Price(T) * Trade Quantity

Where:

For Structured Flows:

For commodity products:

It is the rate from the daily cashflow according to the valuation date (valDate = cashflow start date).

Applies to CRD Tranche trades - Current Effective Attachment point of the tranche, expressed as a percentage of the original notional of the basket.

Applies to CRD Tranche trades - Current Effective Detachment point of the tranche, expressed as a percentage of the notional of the basket.

The cross-derivative (dDelta/dVol) of option price with respect to the spot rate and the volatility; also known as dVega/dSpot, "stability ratio," and "vanna."

The PV of the default compensation of the credit events applied to the trade. They are discounted from the settle dates.

The PV of the accrual or rebate payment of the credit events applied to the trade, discounted from the settle dates.

Measures the amount of money lost in case of default. The definition of Default Exposure is for Bonds: NPV (Market Value), and for CDS: NPV (Market Value) + Notional. The Default Exposure takes NPV, Notional, Recovery and Accrual into account. For Basket trades, it calculates the Per Name Default Exposure, which takes the change in NPV and Cash Settlement into account.

PricerCreditDefaultSwap

The NPV of the trade after a hypothetical default of the reference entity at the valuation time. The trade value will be non-zero if coupons or principal are protected from default.

This is particularly useful in modeling credit-linked notes.

PricerCreditDefaultSwap

The net payment if a hypothetical default happened on the valuation date, combining the protection payment with any accrued premium that is due (if PAY_ACCRUAL type). The value is zero if the valuation date is before the settlement date of the trade (default before start date).

Measures the amount of money lost in case of default of the safest assets too. A positive number indicates a loss and a negative number indicates a profit. Rest of the definition is exactly same as the DEFAULT_EXPOSURE pricer measure.

Change in NPV for 1% change in spot.

The DELTA measures how the options' value (which is the same as the current premium) varies with changes in the underlying price. Mathematically, DELTA is the first partial derivative of the option price with respect to the underlying.

Equity Derivatives Trades

Change in NPV for 1% change in spot * 100.

FX & FX Option Trades

DELTA is the ratio of the change in PV to the change in spot.

The PV used in the calculation is expressed in Quoting Currency. The resulting ratio is the DELTA in Primary Currency, not including the premium. The DELTA in Quoting Currency follows from the relationship:

DELTA (Quoting Currency, Premium Not Included) = (-1) * Spot Rate * DELTA (Primary Currency, Premium Not Included)

The currency pair parameter "Delta Display Ccy" determines the currency in which DELTA is displayed by default.

You can include the premium in DELTA. The DELTA with premium included follows from the relationship:

DELTA(Primary Currency, Premium Included) = DELTA(Primary Currency, Premium Not Included) – PV(Primary Currency)

Also, expressed in Quoting Currency:

DELTA(Quoting Currency, Premium Included) = (-1) * Spot Rate * DELTA (Primary Currency, Premium Included) = DELTA(Quoting Currency, Premium Not Included) + PV(Quoting Currency)

The inclusion of the premium in DELTA is determined by the pricing parameter USE_DELTA_TERM_B as well as the currency pair parameter “Risky Ccy”, obeying the next rules:

If USE_DELTA_TERM_B is unset or set to false:

DELTA does not include the premium

If USE_DELTA_TERM_B is set to true then:

DELTA does not include the premium. It matches DELTA_RISKY_PRIM

DELTA includes the premium. It matches DELTA_RISKY_SEC

The pricer measure DELTA always means Spot DELTA and hence the DELTA is unaffected by the setting of the Pricing Parameters ADJUST_FX_RATE and ZD_PRICING.

Commodity Option Trades

For Commodity Options, the system calculates the Delta of each optionlet and sums them together to give the deal delta. This term will be in the commodity "deal units" which are the units deal of the deal quantity.

Measures the parallel shift of yield curve sensitivity.

DELTA_01 shifts the quotes of the underlying instruments of the market data.

 Ⓘ   [NOTE: This pricer measure is not for use in conjunction with Horizon or Risk reports that shift Points (Simulation, Scenario)]

Class tk.pricer.PricerMeasureDelta01Inflation.

Applies to inflation swaps and inflation bonds.

Change in NPV for 1bp change in underlying quotes of the inflation curves.

 Ⓘ   [NOTE: This pricer measure is not for use in conjunction with Horizon or Risk reports that shift Points (Simulation, Scenario)]

Delta at the down barrier / low trigger. Payout fee if in risky currency.

Delta at the up barrier / high trigger. Payout fee if in risky currency.

Difference in PV by shifting spot where the spot equals to the barrier (up barrier or down barrier).

For commodity options and equity structured options.

Option delta displayed in the units of the commodity being traded (barrels, tones, etc). The delta represents the expected change in NPV for the deal based on a shift of the forward curve by 1 ccy unit per commodity unit.

Percent change of NPV for 1% change in spot (this is used for FX options, equity options, CDS options, and swaptions).

= Primary amount * dfPrimary * spot

FX Trades

= Quoting amount * dfQuoting

FX Option Trades

DELTA (change in NPV for 1% change in spot) including the premium.

DELTA_RISKY_SEC (Quoting Currency) = (-1) * Spot Rate * DELTA_RISKY_SEC (Primary Currency)

Not used - Use DELTA_RISKY_SEC instead.

Class tk.core.TabularPricerMeasure.

Defines a tabular pricer measure that displays pricer measure results in multiple currencies (base, pay, and receive currencies) when pricing cancelable cross-currency swaps.

You can configure the format of the pricer measure by defining the following 'User Defaults' attributes:

• NumberFormat - Select the format of negative numbers.
• DefaultZebraBackgroundColor - Select the default background color.
• ZebraRowColor - Select the background color of every other row.

This applies to the Results area of all trade windows.

Clean price plus accrued coupon. The price generally quoted in the market, however, is the clean price.

Class tk.pricer.calculators.PricerMeasureBond.

Used in Taiwanese bills. Per local market practice, the face value for a TWN bill should set up with 100,000, while the price base for the same bill should be in 10,000.

The base is controlled by the Issue Price Base product code. If Issue Price Base = 10,000, then:

DIRTY_PRICE_SCALED = DIRTY_PRICE * 100

See "Specifying Taiwanese Bonds" in Calypso Fixed Income documentation for details on the Issue Price Base product code.

Class tk.pricer.calculators.PricerMeasureBondForward.

For Bond Forward trades.

If the value date is less than the fixing date, it is the projected forward dirty price of the underlying, otherwise, it is the spot dirty price of the underlying.

PricerBondMMDiscount.

Discount rate.

Used to discount the payment when calculating PV.

The discounted margin for a floating-rate note is calculated similarly to that of the Z_SPREAD. Each cashflow is projected using a forward curve and then discounted with a discount curve and a fixed spread m to find the NPV. The discounted margin is the value of mfor which this NPV is equal to the market-quoted dirty price.

Macaulay Duration, implemented based on the following relationship:

Macaulay Duration = (1 + y/n) * MODIFIED_DURATION, where y is the yield to maturity, n is the number of periods per year, and MODIFIED_DURATION is the percentage change to price with respect to change in yield.

Average of prices due to change of +1bp and -1bp to the yield-to-maturity. The yield-to-maturity is computed from the bond quote when BOND_FROM_QUOTE is true, or from the theoretical price otherwise. Then the yield-to-maturity is shifted by +1bp and -1bp, and the new price is computed as the average of both prices. DV01 is the price change multiplied by the trade notional.

Applies to swap trades.

It is the change in NPV for a 1bp (absolute) increase in the spread of the floating side.

DV01_SPREAD = NPV(with spread+1Bp) - NPV(original)

Vega sensitivity to quoting currency interest rate.

Vega sensitivity to the primary currency interest rate.

The cross-derivative (dVega/dSpot) of option price with respect to the spot rate and the volatility; also known as dDelta/dVol, "stability ratio," and "vanna." Although in the continuous limit this is theoretically the same as DDELTA_DVOL, numerical implementations can lead to different results.

FX Option Window Barriers. The sensitivity to the changes in VEGA_WB_E when the spot shifts.

FX Option Window Barriers. The sensitivity to the changes in VEGA_WB_M when the spot shifts.

FX Option Window Barriers. The sensitivity to the changes in VEGA_WB_S when the spot shifts.

The change of vega with volatility, which is the second derivative of option price with respect to volatility; also known as "vomma" or "kappa."

FX Option Window Barriers. The sensitivity to the changes in VEGA_WB_E when the barrier end volatility shifts.

FX Option Window Barriers. The sensitivity to the changes in VEGA_WB_M when the option maturity volatility shifts.

FX Option Window Barriers. The sensitivity to the changes in VEGA_WB_S when the barrier start volatility shifts.

For swaptions using PricerSwaptionCEV.

Sensitivity of the PV to alpha.

For swaptions using PricerSwaptionCEV.

Sensitivity of the PV to beta.

Used for callable bond pricing, it uses the Effective Call Method defined on the bond product and provides the matching cashflows based on the Effective Call Date.

You can also use the pricing parameter EFFECTIVE_CALL_METHOD in the pricing env to override the product value with a specific value for all callable bonds. EFFECTIVE_CALL_DATE will then display based on the pricing parameter value.

For callable FRN bonds using PricerLGMM1FSaliTree.

NPV = NPV_UNDERLYING + NPV_CANCEL

Strike of a swaption.

For a Bermudan swaption or cancelable swap, you can double-click to see the whole adjusted strike schedule. Note that the pricing parameter ADJUST_FOR_EXERCISE_FEES must be set to true.

For Nth Loss and CDS Index Tranches.

Re-calibrated attachment points after the credit event has been applied to the trade. The base correlations used in the calculation also correspond to the new re-calibrated points.

For Nth Loss and CDS Index Tranches.

Re-calibrated detachment points after the credit event has been applied to the trade. The base correlations used in the calculation also correspond to the new re-calibrated points.

Refer to Calypso Analytics guides for details.

For Nth Loss and CDS Index Tranches.

Expected loss displayed as a percent between 0 and 100, this is: (expected loss amount) / (remaining notional of basket).

The “expected loss amount” is the present value of the expected future termination payments. It does not include past losses if the default payments have already been received.

For Nth Loss and CDS Index Tranches.

Expected loss displayed as a fraction between 0 and 1, this is: (expected loss amount of tranche) / (expected loss amount of entire basket).

The “expected loss amount” is the present value of the expected future termination payments. It does not include past losses if the default payments have already been received.

Class tk.pricer.measure.AnalyticsPricerMeasure.

Expected time to maturity in years for LGMM1F pricers.

Applies to TARN pricing - the expected time until redemption of the note, given the assumptions of the model and the pricing parameter.

For FX trades.

EXPLODE_PV_PRIM_CCY = primary currency amount * primary currency discount factor

For FX trades.

EXPLODE_PV_QUOTE_CCY = quoting currency amount * quoting currency discount factor

For repo collaterals.

= (Par amount * Current inflation factor * Current pool factor * Dirty market price) * (1 - Haircut / 100) - [(Value + Current repo interest) * -1]

Where Current repo interest (receivable/payable) is the interest accrued up to today on this repo trade since the later of the last interest cleanup or the Repo start date, but pro-rated for this collateral piece's money amount.

Current repo interest = ACCRUAL_CLEANUP * Collateral money amount / Repo trade money amount

For repo collaterals.

= (Par amount * Current inflation factor * Current pool factor * Dirty market price) * (1 - Haircut / 100) - (Value * -1)

Position face value.

Fee pricer measures are added manually. The class is tk.pricer.PricerMeasureGenericFee, and the id should be an id not already in use.

You can then use these pricer measures for any trade.

Class tk.pricer.PricerMeasureGenericFee, and the id should be an id not already in use.

Same as <fee name> pricer measures for <fee name>_EXLUDED: Combines all the fees attached to a trade into one pricer measure, except for the <fee name>.

Example: You have a trade with PREMIUM, COMMISSION, and ADJUST fees. Pricer measure PREMIUM_EXLUDED will combine COMMISSION and ADJUST fees.

Class tk.pricer.PricerMeasureGenericFee, and the id should be an id not already in use.

Amortization of <fee name>: ACCRUAL_EIR with <fee name> – ACCRUAL_EIR without <fee name>.

Currently only available for Structured Flows.

Impacted by pricing parameter EIR_INCLUDE_FEE.

Class tk.pricer.PricerMeasureGenericFee.

Same as <fee name> pricer measures for FEES_ALL: Combines all the fees attached to a trade into one pricer measure.

Class tk.pricer.PricerMeasureACCRUAL_EIR, and the id should be an id not already in use.

Amortization of all "EIR" fees: ACCRUAL_EIR with fees – ACCRUAL_EIR without fees.

Currently only available for Structured Flows.

Impacted by pricing parameter EIR_INCLUDE_FEE.

Fees marked with attribute "Exclude from EIR = true" are always excluded from ACCRUAL_EIR computation, regardless of EIR_INCLUDE_FEE.

Denotes the PV of the applicable fees (expressed in the PE base currency) for inclusion in the NPV pricer measure.

Denotes the PV of the applicable fees (expressed in the fee currency) for inclusion in the NPV pricer measure.

This is a custom pricer measure available under calypsox/tk/pricer/PricerMeasureFEES_NPV_CURRENCY.

These amounts will appear provided fee positions have been created. Refer to the Calypso Position Management User Guide for information on generating fee positions.

These amounts will appear provided fee positions have been created. Refer to the Calypso Position Management User Guide for information on generating fee positions.

Class tk.pricer.PricerMeasureUnsettledFees.

These amounts will appear provided fee positions have been created. Refer to the Calypso Position Management User Guide for information on generating fee positions.

Class tk.pricer.PricerMeasureUnsettledFees.

Same as FEES_NPV.

For a buy sell back, INITIAL_PRINCIPAL + Interest as of the maturity date.

The difference between the projected price and the fixed price multiplied by the quantity of the commodity being sold or bought discounted back to the date for which the trade is being priced. Same as the NPV of the trade.

If the valuation date is the same as the settlement date, we use the quote on the settlement date. If the quote is not available, we project the price.

If the valuation date is between the settlement date and the payment date, we look for the quote on the settlement date.

If the valuation date in on the payment date, and NPV_INCLUDE_CASH is true, we do not calculate FORWARD_MTM. If NPV_INCLUDE_CASH is false, we use the quote on the settlement date.

For a buy sell back, price as of the maturity date.

For a swaption, it gives the forward premium of the swaption.

Funding based on the Book Value on a last day basis. 

Last day basis — The funding is computed from the previous business date to the current date (which may cross weekends and holidays). For example, on a Friday the charge should be for one day and on a Monday the charge should be for 3 days (to include Saturday and Sunday). No split month ends adjustment is necessary.

The [days in year] variable is either 360 or 365 depending on the currency basis.

 Ⓘ   [NOTE: You can set the INCLUDE_FEES parameter to true to include fees in the book value calculation]

Position Based Products

Sum of book values for all positions by book, by currency, and by CUSIP.

Calculates cost of carry by net position as:

Cost of Carry = [Book Value] * [Funding Rate] * [number of days] / [days in year]

See BOOK_VALUE for Book Value calculation.

Open Trades

Calculates cost of carry by open trade as:

Cost of Carry = [Book value] * [Funding Rate] * [number of days] / [days in year]

See BOOK_VALUE for Book Value calculation.

Funding based on the Book Value on a first day basis.

The funding is computed from the current date to the next date. For example, on a Friday, the number of funding days is 3 (it includes Saturday and Sunday). If Monday is a holiday, then the number of funding days on Friday is 4 (it also includes Monday).

The first day basis calculation takes split month ends into account. If Saturday is the last day of the month, the Friday charge will include 2 days of funding, and the Monday charge will include 2 days of funding.

The [days in year] variable is either 360 or 365 depending on the currency basis.

 Ⓘ   [NOTE: You can set the INCLUDE_FEES parameter to true to include fees in the book value calculation]

Position Based Products

Sum of book values for all positions by book, by currency, and by CUSIP.

Calculates cost of carry by net position as:

Cost of Carry = [Book Value] * [Funding Rate] * [number of days] / [days in year]

See BOOK_VALUE for Book Value calculation.

Open Trades

Calculates cost of carry by open trade as:

Cost of Carry = [Book value] * [Funding Rate] * [number of days] / [days in year]

See BOOK_VALUE for Book Value calculation.

The cost of funding, as the spread plus the rate index value, applied on the Trade Value (Quantity * Trade Price).

Funding based on the MTM Value on a last day basis.

The funding is computed from the previous business date to the current date (which may cross weekends and holidays). For example, on a Friday the charge should be for one day and on a Monday the charge should be for 3 days (to include Saturday and Sunday). No split month ends adjustment is necessary.

The [days in year] variable is either 360 or 365 depending on the currency basis.

 Ⓘ   [NOTE: You can set the INCLUDE_FEES parameter to true to include fees in the book value calculation]

Position Based Products

Sum of MTM position values by book, by currency, and by CUSIP.

Calculates cost of carry by net position as:

Cost of Carry = [net MTM position] * [Funding Rate] * [number of days] / [days in year]

with:

net MTM position = quantity * dirty closing price * pool factor

Trade date positions should be used. Mid prices should be used. Long positions give a positive result, and short positions give a negative result.

Open Trades

Calculates cost of carry by open trade as:

Cost of Carry = [MTM value] * Funding rate * [number of days] / [days in year]

with

MTM value = Calypso calculated MTM value of cash side of the trade

All open trades. Reverse repos and buy-sell backs give a positive result; repos and sell-buy backs give a negative result; loans give a positive result and deposits give a negative result.

Funding based on the MTM Value on a first day basis

First day basis — The funding is computed from the current date to the next date. For example, on a Friday, the number of funding days is 3 (it includes Saturday and Sunday). If Monday is a holiday, then the number of funding days on Friday is 4 (it also includes Monday).

The first day basis calculation takes split month ends into account. If Saturday is the last day of the month, the Friday charge will include 2 days of funding, and the Monday charge will include 2 days of funding.

The [days in year] variable is either 360 or 365 depending on the currency basis.

 Ⓘ   [NOTE: You can set the INCLUDE_FEES parameter to true to include fees in the book value calculation]

Position Based Products

Sum of MTM position values by book, by currency, and by CUSIP.

Calculates cost of carry by net position as:

Cost of Carry = [net MTM position] * [Funding Rate] * [number of days] / [days in year]

with:

net MTM position = quantity * dirty closing price * pool factor

Trade date positions should be used. Mid prices should be used. Long positions give a positive result, and short positions give a negative result.

Open Trades

Calculates cost of carry by open trade as:

Cost of Carry = [MTM value] * Funding rate * [number of days] / [days in year]

with

MTM value = Calypso calculated MTM value of cash side of the trade

All open trades. Reverse repos and buy-sell backs give a positive result; repos and sell-buy backs give a negative result; loans give a positive result and deposits give a negative result.

The funding rate.

Change in NPV for 1% change in forward rate. Based on the expiry date.

In FX trades, FWD_DELTA = FX trade’s primary amount.

In FX/FX Option trades, FWD_DELTA (Quoting Currency) = (-1) * Forward Rate * FWD_DELTA (Primary Currency).

For Commodity Swap / Swaptions, it calculates the undiscounted Delta. It is the sum of the Fwd Delta cashflow column.

The DELTA measure gives how may futures are needed to hedge the option. FWD_DELTA gives how many forward contracts are needed to hedge the option.

For multiple payments, the DELTA and FWD_DELTA measures aggregate numbers of futures/forward contracts with a different maturity (each corresponding to a payment maturity.)

Percentage of change in NPV for 1% change in forward rate. Based on the expiry date.

= Primary amount * forward price

= Quoting amount * trade price

Expected theoretical balance on a call account.

Foreign currency exchange.

Class tk.pricer.PricerMeasureFXRate.

The current FX Rate - Uses the pricing parameter Quote Usage.

Class tk.pricer.PricerMeasureFX_PL.

Used in FX Average Price function.

Please refer to Calypso Positions documentation for details.

GAMMA measures how much the DELTA of an option changes with changes in the underlying price. Mathematically this is the second partial derivative of the option price with respect to the underlying price.

Equity Derivatives Trades

Change in GAMMA for 1% change in spot * 100.

FX Option Trades

[NOTE: In FX Option pricing, you can include the hedge gamma in the GAMMA pricer measure. In the Pricer Configuration in the Pricing Environment, set the Model Parameter USE_DELTA_TERM_B (PricerFXOption) to true.

GAMMA returns the following values based on how you define the delta currency in the currency pair definition. Choose Configuration > Definitions > Currency Definitions.

For an equity option, equity note or commodity option, this is the Gamma (second order sensitivity to the underlying stock/index) expressed as a number of shares.

Percent change of DELTA_PCT for 1% change in spot (this is used for FX options and equity options to keep the original behavior).

Class tk.pricer.calculators.PricerMeasureBond.

GAT stands for ganancia anual total, or annual effective rate.

Only applies to Mexican bonds (yield type = MXN).

GAT_NOMINAL = [(1 + r/m)m] - 1

Where r is the nominal coupon rate and m is the number of periods in year.

BondMMDiscount

For BondMMDiscount only, if (bond maturity date - trade settle date) < 1 year, then GAT_NOMINAL = Trade Yield. Otherwise GAT_NOMINAL is blank.

Class tk.pricer.calculators.PricerMeasureBond.

GAT stands for ganancia anual total, or annual effective rate.

Only applies to Mexican bonds (yield type = MXN).

GAT_REAL = [(1 + GAT_NOMINAL) / (1 + Pi)] - 1

Where Pi is the inflation rate.

The currency attribute 'GATInflationIndex' must be set with the inflation index name, and a quote must be provided for the index on the val date.

For spread cap floors priced with SpreadCapFloorGBM2FHagan.

Double-click to display various Greeks per flow.

No longer used.

No longer used.

Volatility implied by the price quoted.

Commodity Swaption Trades

Actual Volatility used in pricing commodity swaption. It is supported for European swaption only.

Gives the constant correlation that reproduces the NPV of the trade, so it is an "average pair wise correlation."

The Parameter CORRELATION can be manually entered by the user, and this will override the correlation matrix from the market data; it will be used to find the NPV. (This is analogous to entering a manual volatility on an option trade to override a volatility surface.)

Define the expected number of days that will meet variance swap condition.

The Price Quote converted to a spread.  For a spread based index this is equal to the Quotes value of index. For a price based index, the price is converted to an implied spread. If the Price is PAR i.e 100, this will be equal to the Inception spread (the fixed coupon on the index definition).

FX Options. Implied trading day volatility. Adjust IMPLIEDVOLATILITY by TRADING_DAYS.

Amount of coupon on a collateral.

Accrued coupon on a collateral.

Class tk.pricer.PricerMeasureIndependentAmount.

For margin calls.

Evaluation of the independent amount fee of type IND_<fee type>.

Calculated by obtaining the CDS index (whose start date is the expiry date of the CDS Index Option). So when solved for the break-even rate of this CDS Index, it is solved for a future break-even rate.

Total inflation adjustment since a trade settlement date, up to the next business day (same rules as for PREM_DISC when dealing with month-ends).

For margin calls.

Initial margin.

For a buy sell back, Trade Nominal * Dirty Price.

Used for bonds. This is the spread over the Risk free curve which ensures that the Theoretical Price of the Bond matches the Quoted Price.

When added to Performance Swap trades, it will display the INSTRUMENT_SPREAD if APPLY_INST_SPREAD=true and BOND_FROM_QUOTE=false. The calculated spread will be 0 if no quote for the bond exists in the quote set.

Class tk.pricer.PricerMeasureIRR.

Structured Flows, Swaps, SwapCrossCurrency, and SwapNonDeliverable

The Internal Rate of Return (IRR) is the interest rate that is used to discount a given series of cashflows to achieve a given net present value (NPV) of zero.

Swaps, SwapCrossCurrency, and SwapNonDeliverable make use of IRR_PAYLEG and IRR_RECLEG.

The pricing parameters EIR_FORECAST_RATES, EIR_USE_RESET_DATE and EIR_INCLUDE_FEE impact the computation of ACCRUAL_EIR.

The ISMA_YIELD is similar to Yield, but it forces the computation of the Yield based on the ISMA Methodology. The ISMA Methodology is the standard in the USA. The difference between the ISMA methodology and other Yield calculation methods arises in the computation of the Yield in the last period of Bond.

Class tk.core.TabularPricerMeasure.

For Performance Swaps.

Returns the results for each leg separately.

For CDS index tranches.

= Abs(PV01_CREDIT this trade) / (PV01_CREDIT whole index trade)

Bonds using PricerBondLGMM2F.

Sows the calibrated model used to value the trade.

For swaptions using PricerSwaptionLGMM1F.

It allows plotting the calibration error function and get a sense of the mean reversion.

When using the BEST_FIT_LM calibration scheme, the pricer will do an additional calculation, and search in a brute force fashion over a range of mean reversion and sigma values, and display the best-fit error function. Note: The calibration scheme BEST_FIT_LM does not use this brute-force method, the brute-force method is simply for the user to get a feel for the error function and double check the BEST_FIT_LM calibration.

You can use the pricing parameter LGMM_BEST_FIT_GRAPH_MESH_SIZE to control how fine the mesh used in the brute force search is.

For swaptions using PricerSwaptionLGMM1F.

It allows viewing the price by mean reversion. The pricer will do additional valuation, specifically, will vary the constant mean reversion parameter and recompute the NPV.

Class tk.pricer.PricerMeasureLGMModel.

For swaptions using PricerSwaptionLGMM1F.

Double-click the pricer measure to open a window that displays the time-dependent Volatility and Mean Reversion used in the pricing.

Liquidation effect for position based products.

To be used with PricerCDSNthLossLPM and PricerCDSIndexTrancheLPM.

Double-click the pricer measure to view a graph of expected losses.

DF weighted average strike.

Calculates the NPV based measure used in the Margin Call process.

For portfolio swap, MARGIN_CALL is calculated the same as NPV.

For security finance trades:

MARGIN_CALL = - (SEC_FIN_LIABILITY + SEC_FIN_SECURITY_VALUE)

See SEC_FIN_LIABILITY and SEC_FIN_SECURITY_VALUE below for details.

For Triparty Exposure trades: 

MARGIN_CALL = -(TET_COLLATERAL_VALUE + TET_EXPOSURE_AMOUNT)

See TET_COLLATERAL_VALUE and TET_EXPOSURE_AMOUNT below for details.

It indicates the exposure to the market due to possession of a risky asset. For normal equity stocks it will be the same as market value but Market Exposure to Cash & Equiv will be zero. Although futures and synthetic products may have zero market value, they will have Market Exposure.

At the fund level, market exposure is defined as the sum of all the individual market exposures for all assets.

For FX Forward, it is the notional times the difference between the trade date spot rate and the valuation date spot rate.

Market price.

For securities, the price at which investors can buy or sell an investment at a given time multiplied by the quantity held plus any accrued income.

For Future Bonds, MARKET_VALUE is calculated as Quantity * Tick Size * Value.

For OTC derivatives, the mark to market value.

For CDS products, the projected fees are included.

PricerBondAssetBackedAUD.

WAL date, set for the security code AFMAWalDate on the bond product to the WAL date (call date).

Records and displays the convergence of the monte-carlo valuation scheme. Specifically records the NPV at discrete snapshots in the total number of simulations.

Monte Carlo pricers.

Distribution of the NPV's during a Monte Carlo simulation. The frequency scale shows the fraction of the total number of simulations for which the NPV fell within each bin.

Modified delta at the down barrier / low trigger, or up barrier / high trigger.

Modified DELTA_BEFORE_UP_BARRIER and DELTA_BEFORE_DOWN_BARRIER.

If true, both the pay and receive sides of the trade will be calculated and initial margin will be mirrored.

If false, both sides will be calculated and initial margin will not be mirrored.

The value of the parameters in the model, for example in the SABR model the model parameters are alpha, beta, rho and nu. In Black-Scholes model the model parameters are volatility, interest rate, dividend yield.

Implementations differ by pricer, but typically rely upon getClientData()  rather than getValue().

Percentage change to price with respect to change in yield.

We approximate MODIFIED_DURATION by using 1 basis point change to the yield.

MODIFIED_DURATION = - (dP_up - dP_down) / (2 * d) / price

Where d = 0.0001, and dP_up and dP_down are the price changes from modifying yield up and down by d, respectively.

You can double-click the MODIFIED_DURATION pricer measure to view intermediary calculations.

The total derivative of option price with respect to the spot rate, taking into account dependence of volatility on the spot rate. Calculated numerically as a two-sided delta by shifting the spot rate by a relative factor of 1.0001.

FX and FX Options pricers.

Smile-adjusted forward delta so that we can generate the correct forward-delta hedges when the default hedge style is set to "smile hedge".

The total derivative of MOD_DELTA with respect to the spot rate, taking into account dependence of volatility on the spot rate. Computed in a similar way to MOD_DELTA.

The total derivative of price with respect to at-the-money volatility, taking into account shifts of the volatility surface as the ATM volatility changes, assuming the skew remains unchanged.

Calculation method used in some German markets. The US Treasury also uses this method for yields and prices on new issues. It is similar to the money market yield in that it calculates the final discounting for the next coupon date to settlement using simple Interest rather than compounded interest. The day/year convention is, however, not changed to a money market basis. This method of calculating yield is a hybrid between the formulae for yield to maturity (YTM) and the money market yield.

No out-of-the-box pricer currently calculates this pricer measure.

The most profitable future to deliver the commodity certificate.

The market price of the most profitable future to deliver the commodity certificate.

Class tk.pricer.PricerMeasureMTM_BASE.

Used in FX Average Price function.

Please refer to Calypso Positions documentation for details.

Class tk.pricer.PricerMeasureMTM_CCY.

Used in FX Average Price function.

Please refer to Calypso Positions documentation for details.

Class tk.pricer.PricerMeasureCredit.

Mark-to-market of the index price change. Calculated as Notional * [(Current Price * Current Factor) - (Beginning Price * Beginning Factor)] * .01.

Only calculated for Mexican BPA inflation protected bonds (floating rate bond with yield method = MXN, and ‘Inflation Protected’ checked).

MXN_SPREAD = Rate - Index Rate

Where Rate = Max(Index Rate, FX Rate Change).

Numerical sensitivity to the correlation.

Change in NPV induced by 1 basis point shift in the zero curve(s).

We move the whole curve of zero rates simultaneously up by 1 basis point, re-price and give back the change in NPV.

PV01 and NDELTA measures are similar, though not identical.

Both shift curves by 1bp and calculate the change in PV between the case where all assigned zero curves (discount and, if applicable, forecast) are shifted up by 1bp and the base case. However, PV01 computes the PV01 of fees in the case where both legs of the swap are being priced, whereas NDELTA does not.

Both PV01 and NDELTA, if both legs are being priced, convert the PV01s for each leg and the fees into the "base" currency if the two legs' currencies differ. (The "base" currency is defined as follows: if one of the two legs' currencies equals the Pricing Environment's base currency, that is the base currency; otherwise, the primary currency in the currency pair constituted by the currencies of the two legs is the base currency.)

Note: NDELTA does not include the fees.

In FX trades, NDELTA (Quoting Currency) = (-1) * Spot Rate * (NDELTA Primary Currency).

For Bonds, NDELTA = PV01.

 Ⓘ   [NOTE: NDELTA does not apply to FX Options trades - You should use MOD_DELTA instead]

Change in NPV induced by 1% relative shift in the commodity forward curve.

Displays the NPV results in the non-deliverable currency.

PricerCorrelationSwap.

The Expected Realized Correlation (ERC).

,

Where:

= the realized correlation for the Realized Correlation Days.

= the expected future correlation for the Unrealized Correlation Days.

RealizedCorrelationDays is the count of all Observation dates that are less than or equal to the Valuation date

UnrealizedCorrelationDays is the count of all Observation dates that are greater than the Valuation date.

TotalCorrelationDays is the count of all Observation Dates, or Nexpected.

PricerVarianceSwap.

= [(realized volatility * realized returns) + (un-realized * unrealized returns)] / total returns

Change in NDELTA induced by the shift of the zero curve(s) 1 basis point up.

We move the whole curve of zero rates simultaneously up by 1 basis point, re-price and give back the change in NPV.

 Ⓘ   [NOTE: NGAMMA does not apply to FX Options trades - You should use MOD_GAMMA instead]

Change in NDELTA_COMM induced by the shift of the commodity forward curve 1 cent up.

Notional.

See NOTIONAL - Details per Product Class for details.

For Call Notice only.

NOTIONAL_ACCRUAL = CURRENT_NOTIONAL + ACCRUAL

Applicable for Bonds and CDS. For Bonds, this is defined as Notional * Modified Duration / Modified Duration (Benchmark). The modified duration of benchmark is set up using the Global Parameters. For CDS, this is the 5 year equivalent trade which will have the same credit sensitivity as the current trade.

The Bond's current notional per total notional.

The PV unadjusted by the Notional Factor. It represents the sensitivity to a change in the Notional Factor. It should only be used on bonds that are notional indexed.

Capitalized notional. Does not require market data.

The principal on the underlying product.

Notional par - that is, not capitalized. Does not require market data.

The Net Present Value (NPV) of a series of cashflows is the sum of the present values of each of the cashflows, some or all of which may be negative.

See Calypso Analytics guides by asset class for details.

Class tk.pricer.calculators.PricerMeasureEquityLinkedSwap.

NPV plus accrued management fees for Equity Swaps.

NPV_AMF = NPV + FEES_ALL_AM.

Only used on the Pricing Grid.

Uses a valid tenor or a specific date to find the baseline valuation date. Diff values are displayed as base points and represent the difference between the current value and the value for the given baseline valuation date and time.

NPV of the optionality associated with the right to cancel the deal, typical example is cancelable swap.

NPV_CANCEL is the value of the option on the opposite swap.

For Bond (same as NPV), Repo, SecLending and MarginCall.

NPV of the trade collaterals.

= Sum [(market price - trade price) * nominal] for all collaterals

Single name and basket credit pricers.

The NPV of the credit protection leg of a CDS or CDO.

Associate to MTM_NET so that the clean MTM less the daily accretion of the discount can be booked. It is used for discount papers with less or more than one year.

If the Accounting Book classification attached to the Book is AmortizedValue or AmortizedCost, the system now subtracts the Amortized Premium Discount from NPV_DISC. If multiple Accounting Books are attached to the Book, the system uses the classification specified in the domain "GAAP.Default".

In order to identify, if the Premium Discount is amortized on a Yield or Linear basis, you need to set the Pricing Parameter NPV_DISC_LINEAR to true for Linear Amortization, or false for Yield Based Amortization.

For BondMMDiscount products, we now support constant yield accretion using compound yield by setting the pricing parameter "PREM_DISC_YIELD_RATE" to EFFECTIVE. You can set it to DEFAULT otherwise (default value).

For BondMMDiscount and Zero Coupon bonds, if the year difference between spot date and maturity date is greater than 1 year (due to daycount convention or otherwise), even if NPV_DISC_LINEAR=True, system will ignore the param and continue to use the PREM_DISC_YIELD measure in NPV_DISC computation.

Same as NPV_DISC on trade date with pricing parameter NPV_INCLUDE_COST =TRUE.

In the FX Swap, the NPV for the far leg.

In the FX Swap, the NPV for the far leg.

In FX products, returns the PV for the base side of the currency pair. Used in Risk Analysis to calculate sensitivity to base and quoting interest rates separately.

If DISCOUNT_PRIMARY_CCY = False (default value)

If DISCOUNT_PRIMARY_CCY = True

Np = Primary currency amount

Nq = Quoting currency amount

S = FX rate used for conversion, can be FX spot or adjusted FX spot based on ADJUST_FX_RATE pricing parameter

F = FX forward rate, can come from both discount curves or from an FX curve based on FX_POINTS pricing parameter

Dp = Discount factor in primary currency, can be from settlement date or spot date based in ZD_PRICING parameter

Dq = Discount factor in quoting currency, can be from settlement date or spot date based in ZD_PRICING parameter

Please note that NPV_FX_BASE is always in Primary currency and NPV_FX_QUOTE is always in quoting currency, but the discounting is done either with the primary or with the quoting currency discount curve, depending on the value of the DISCOUNT_PRIMARY_CCY parameter.

Also, retrieved from the trade_price table by the EOD_TRADE_VAL_DB scheduled task using the pricer PricerFromDB.

 Refer to the Calypso Scheduled Tasks User Guide for details.

 Ⓘ   [NOTE: This pricer measure is not supported for Quanto cash-settled FX forwards]

In FX products, returns the PV for the quote side of the currency pair. Used in Risk Analysis to calculate sensitivity to base and quoting interest rates separately.

See NPV_FX_BASE for details.

Also, retrieved from the trade_price table by the EOD_TRADE_VAL_DB scheduled task using the pricer PricerFromDB.

 Refer to the Calypso Scheduled Tasks User Guide for details.

 Ⓘ   [NOTE: This pricer measure is not supported for Quanto cash-settled FX forwards]

Class tk.pricer.PricerMeasureNPV_INTRINSIC.

For cap/floors using PricerCapFloorBpVol.

For swaptions using PricerSwaptionBpVol.

For equity vanilla options using Black1FAnalyticVanilla, Black1FAnalyticDiscreteVanilla, Black1FFiniteDifference.

Intrinsic value of the option.

For Commodity OTC Option using PricerCommodityOTCOptionAnalytic

For Commodity Swaption using PricerCommoditySwaption2

In the FX Swap, the NPV for the near leg.

The pricer measure NPV_NET has been added to every pricer. By default it is NPV - ACCRUAL_BO, unless the pricer customizes the behavior.

Bonds

BondMMDiscount

NPV_NET= Clean Price – Trade Clean Price - PREM_DISC_YIELD

NPV_NET= Clean Price – Trade Clean Price - PREM_DISC

Calculates the NPV of cross currency swaps excluding the value of any principal exchange.

NPV_NO_PRINCIPAL of the pay leg.

NPV_NO_PRINCIPAL of the receive leg.

NPV_NOCASH is the same as NPV except that it behaves as if the pricing parameter NPV_INCLUDE_CASH is always set to false.

NPV of the pay leg.

For FX trades:

If pay Base ccy: then NPV_PAYLEG = NPV_FX_BASE

If pay Quoting ccy: then NPV_PAYLEG = NPV_FX_QUOTE

See NPV_FX_BASE and NPV_FX_QUOTE for further details.

NPV_PAYLEG minus accrued interest on pay leg.

NPV_PAYLEG_NET = NPV_PAYLEG - ACCRUAL_PAYLEG

Single name and basket credit pricers.

The NPV of the premium leg of a CDS or CDO.

Class tk.pricer.calculators.PricerMeasureBond.

Used to compute next day price. Use this when you are using FIRST_ACCRUAL = True (include to next business day), but consider the market quotes to be a day behind that (include just to current business day).

     NPV_PRICE = Clean Price(T+1)

     NPV_PRICE = Clean Price

NPV of the receive leg.

For FX trades:

If pay Base ccy: then NPV_RECLEG = NPV_FX_QUOTE

If pay Quoting ccy: then NPV_RECLEG = NPV_FX_BASE

See NPV_FX_BASE and NPV_FX_QUOTE for further details.

NPV_RECLEG minus accrued interest on pay leg.

NPV_RECLEG_NET = NPV_RECLEG - ACCRUAL_RECLEG

Numerical approximation of THETA.

NTHETA = NPV (on value date + 1 day) - NPV (on value date)

For RFR Cap/Floors

Added adjustment to the analytics Black-Scholes theta in case of RFR cap/floors. This adjustment makes the theta decay occur at the usual rate until the first daily fixing comes in. It then progressively slows as the final fixing approaches. The adjustment is the same for both Normal and SLN cap pricers.

Numerical approximation of VEGA.

We move the whole volatility surface of the underlying up by 1%, re-price and give back the change in NPV.

Because most exotic derivatives do involve more than one underlying, the NVEGA will move all volatility surfaces of all underlyings, with the exception of the FX underlying volatilities.

Applies to pricers PricerSwaptionBpVol and PricerCapFloorBpVol.

Numerical sensitivity to a shift of 1bp in the adjustment points (MID_BPVOL).

Numerical sensitivity to the coupon volatility.

Numerical approximation of the first derivative of the price function with respect to the FX underlying volatility, all other parameters remaining constant.

We move the whole volatility surface of the FX underlying up by 1%, re-price and give back the change in NPV.

Numerical sensitivity to the index volatility (option price change for 1% change in the index volatility).

Callable FRN bonds (pricer LGMM1FSaliTree)

The Option-Adjusted-Spread (OAS) is the resolved spread added to the trade funding curve zero rates so that it can price the callable FRN’s dirty quote price at par.

Original Notional on settlement date.

Original premium discount for bonds: (average traded price - redemption price) * notional / 100.

Enables Current Notional measures required across different Interest Rate Swap product types for Basel III Standard Approach-Counterparty Credit Risk (SA-CCR) calculations.

Weighted average of current notional + all future notionals for Pay Leg. Similar to other _PAY measures, the new measure will display a blank for the other leg in DETAILED_DATA view.

Only available in the context of SA-CCR for swaps with amortizing notionals.

Enables Current Notional measures required across different Interest Rate Swap product types for Basel III Standard Approach-Counterparty Credit Risk (SA-CCR) calculations.

Weighted average of current notional + all future notionals for Receive Leg. Similar to other _REC measures, the new measure will display a blank for the other leg in DETAILED_DATA view.

Only available in the context of SA-CCR for swaps with amortizing notionals.

Commodity Swap pricer.

The Single Fixed Strike denominated in DealCurrency per StrikeUnit which would result in the same PV as the Strike(i).

Will display full yield of a selected portfolio.

Pricers for CommoditySwap2 and CommodityOTCOption2.

Displays the average of the known fixing Commodity prices for the current period (valuation date’s period). Meaning that if this is a multi-cashflow deal, then this will be for the cashflow that contains this period.

If no flows are found that match this criteria:

Pricers for CommoditySwap2 and CommodityOTCOption2.

Displays the average of the unknown fixing Commodity prices for the current period (valuation date’s period). Meaning that if this is a multi-cashflow deal, then this will be for the cashflow that contains this period.

If no flows are found that match this criteria:

Total cash position for PositionCash and FX positions.

Class tk.pricer.PricerMeasureChilean.

Calculated as:

= 100P_d / ValorPar

For bonds, PREM_DISC is the difference between the Redemption Price and the Clean Price. On each Valuation Date, the number is accrued from 0 up to the Maturity Date.

For swaptions, PREM_DISC gives the discount factor used to transport the NPV to the option delivery date.

If the pricing parameter PREM_DISC_FROM_TRADE_DATE is set to true, PREM_DISC is computed starting from the Trade Date rather than the Settlement Date.

Factor Based Securities

As a general statement, PREM_DISC and PREM_DISC_YIELD should ALWAYS be equal on the day prior to maturity, and they are so on most security types. For factor-based securities however, the straight-line accretion method is not "approved" by Calypso, as there are many different ways to handle the effect of principal paydowns, and none of them complies with accounting standards such as FAS91 and IAS39. So we recommend that clients do not attempt to do straight-line accretion/amortization for factor-based securities using Calypso since it does not conform with GAAP.

FX Swaps

PREM_DISC depends on pricing parameter PREM_DISC_ALL_IN.

If PREM_DISC_ALL_IN = false (or not set), PREM_DISC = (Amount 1) x (Far Points)

If PREM_DISC_ALL_IN = true, PREM_DISC = (Amount 1) x (Far Points - Near Points)

For uneven FX swaps, see pricing parameter IS_UNEVENFXSWAP_ACCRUAL_QUOTING.

PREM_DISC pricer measure minus INFLATION_ACCRUAL pricer measure.

The premium or discount for the input trade per one unit of notional based on the WAL (Weighted Average Life) of the bond.

Amortization of the Premium/Discount on the Bond on a Yield basis. It is equal to the value of the Bond as of the Valuation Date, computed using the original Yield and Trade Clean Price. At Maturity of the Bond, the total amount must be the same as PREM_DISC. It is just a different way of performing amortization on the Premium/Discount on the Bond.

If the pricing parameter "FAS91_PREMDISC_YIELD" is set to True, a cap / floor is applied to the calculation of PREM_DISC_YIELD.

The cap is greater of: Zero, Premium/discount max value.

The floor is lesser of: Zero, Premium/discount max value.

Premium/discount max value = (1 - trade price) * original par * factor on trade settlement date * inflation factor on valuation date.

For BondMMDiscount products, we now support constant yield accretion using compound yield by setting the pricing parameter "PREM_DISC_YIELD_RATE" to EFFECTIVE. You can set it to DEFAULT otherwise (default value).

To ensure the use of Trade Clean Price, the pricing parameter ALTERNATE_PL should be set to true.

When computing PREM_DISC_YIELD for callable Bonds with PREM_DISC_NO_CALL=true, all future calls after the trade settle date will be ignored. This is to allow PREM_DISC and PREM_DISC_YIELD to be calculated to the maturity date of the Bond rather than to a call date. With this set and with the proper configuration of accounting and if the Bond is called, the PREM_DISC or PREM_DISC_YIELD amount accumulated to the call date may become realized PL and the remainder of the amortization or accretion may be booked to the accounting event, REALIZED_PD_YPL. The trade details like Clean Price, Dirty Price, and Yield shown in the trade ticket and the pricer measure YIELD_SETTLE_DATE will be computed ignoring all future calls of the Bond so that the trade ticket remains accurate to the original trade.

PREM_DISC_YIELD pricer measure minus INFLATION_ACCRUAL pricer measure.

Market Price of the security.

For options, the price the buyer pays, and the seller earns, in exchange for the right to exercise and be delivered the underlying security, or the obligation to be assigned and deliver the underlying security, respectively. This value is expressed as a percentage. The Prem% multiplied by the Amount determines the Premium.

If you are buying the option, the Prem% will be a negative number because you are paying the premium.

If you are selling the option, the Prem% will be a positive number because you are receiving the premium.

For CDS Index: This is the Quoted Price of the Index. For the Index which is quoted in spread, this will be the price implied by the spread. If the Quotes spread is equal to the Inception spread, the Price should be 100 (PAR).

For FX, FX Forward, FX Swap & FX NDF, rounded to currency pair forward point rounding set in Currency Defaults.

For an FXNDF after the FX reset, the PRICE pricer measure is equal to the Reset Price.

Not currently computed.

For Structured Products.

PRICE_NOTE = ([Note Leg NPV] + [Option Leg NPV]) / [Notional] * 100

For Structured Products.

PRICE_NOTE_ACCRUAL_ADJ = PRICE_NOTE - ACCRUAL / [Notional] * 100

For AnalyticCliquets options, the normal standard deviation of cliquet prices, discounted to value date, applied to the model notional.

Displays both the decimal value and the tick value of the Bond price.

Class tk.pricer.PricerMeasureCredit.

Price of the underlying trade. This is captured in the quotes table.

Pricer measure converted to base currency of pricing environment.

This type of pricer measure is added manually. The class is tk.pricer.PricerMeasureConverted, and the id should be an id not already in use.

Example: ACCRUAL_BO_BASE = ACCURAL_BO converted to base currency of pricing environment.

Incremental pricer measure.

This type of pricer measure is added manually. The class is tk.pricer.PricerMeasureAccrualCashEnd, and the id should be an id not already in use.

This computes: Amount of <pricer measure> + Interest flow amount known on valuation date where cashflow End Date is greater of equal than valuation date, and cashflow End Date is lower or equal than Next booking Date (current accrual + interest earned on valuation date).

This type of pricer measure should only be used for Accounting generation within incremental mode for Accrual-related pricer measures.

Example: ACCRUAL_BO_INC.

Probability of exercise of an option.

You can double-click the PROB_OF_EXERCISE pricer measure to view details on exercise probabilities for each exercise date of an option.

Applies to TARN pricing - probability of redemption.

For Call Notice and Loan & Deposit.

Interest for the remainder of period, i.e. from valuation date to end of current period.

For Money Market trades.

Pricer measure that computes the projected interest using the forward rate. The projection date is set in the local pricing parameter PROJECTION_DATE. For example, to project ACCRUAL_FIRST, define the pricer measure PROJ_ACCRUAL_FIRST.

If you want to use the Forward Rate of the Curve, you also need to set the pricing parameter FORECAST_FROM_CURVE to "true". Or if you want to use the last reset quote, set FORECAST_FROM_CURVE to "false".

These pricer measures are added manually. The class is tk.pricer.PricerMeasureProjected, and the id should be an id not already in use.

Projected pricer measure is convertible if <pricer measure> if convertible.

Present value of the future cashflows.

The default behavior is: pv = npv

PV =  Discount of the future cashflows

NPV = Discount of the future cashflows + cost (if NPV_INCLUDE_COST = true)

For bond trades, when PV_INCLUDE_COST is true, the realized settlement flow will be subtracted from the PV only when the valuation date is less than the trade settlement date.

Class tk.pricer.calculators.PricerMeasureBond.

PricerLGMM1FSaliTree

Cap value of bond's embedded option.

Class tk.pricer.calculators.PricerMeasureBondForward.

For Bond Forward trades.

PV of all coupons on the underlying bond during the term of the bond forward.

Class tk.pricer.calculators.PricerMeasureBond.

PricerLGMM1FSaliTree

Floor value of bond's embedded option.

For PricerFutureMMBRL and PricerFutureStructuredFlows that will return PV_OPEN value for a single unit value or quantity based value. This new measure will be sensitive to the PV_OPEN_FROM_QUOTE pricing parameter above.

- Type: Number

- IF PV_OPEN_FROM_QUOTE = false, Previous day's PRICE in PU (directly from CLOSE instance) + ACCRUAL * 1 (Quantity = 1)

- IF PV_OPEN_FROM_QUOTE = true, Today’s OPEN instance quote value for the DI or DDI future

“Present Value of a 01 (PV01)” is the change in price due to a 1 basis point change in the discount factors.

PV01 shifts the resulting points of the curves.

Note: PV01 and NDELTA measures are similar, though not identical.

Both shift curves by 1bp and calculate the change in PV between the case where all assigned zero curves (discount and, if applicable, forecast) are shifted up by 1bp and the base case. However, PV01 computes the PV01 of fees in the case where both legs of the swap are being priced, whereas NDELTA does not.

Both PV01 and NDELTA, if both legs are being priced, convert the PV01s for each leg and the fees into the "base" currency if the two legs' currencies differ. (The "base" currency is defined as follows: if one of the two legs' currencies equals the Pricing Environment's base currency, that is the base currency; otherwise, the primary currency in the currency pair constituted by the currencies of the two legs is the base currency.)

 Ⓘ   [NOTE: NDELTA does not include the fees]

Change in NPV for 1% change in the attachment and detachment correlations.

The spread sensitivity. The underlying CDS spreads are increased by 1bp and the change in NPV is calculated.

All of the underlying curves are perturbed, and the index is priced as a 0-100% basket structure.

For CDS Index pricers, PV01_CREDIT is defined as bumping the spread quote by 1bp and pricing the index off NPV_FROM_QUOTE = True.

For Bond pricers, in the absence of a probability curve, the PV01_CREDIT measure will display the PV01 for discount curves only. For callable bonds, this measure will be based on the EFFECTIVE_CALL_METHOD.

 Ⓘ   [NOTE: This pricer measure is not for use in conjunction with Horizon or Risk reports that shift Points (Simulation, Scenario)]

Calculates a PV01_CREDIT adjusted using an extra coefficient BETA. This is calculated by bumping the credit curve by an amount equal to Beta. Beta is specified as a Quote. For example, if Beta is equal to 5, the credit curve will be bumped by 5bp and the change in NPV will be equal to PV01_Credit_Beta. For small values of beta, PV01_Credit_beta will be close to beta * PV01_Credit.

For credit derivatives products, it is PV01_CREDIT * BETA. The BETA factor is entered as a quote named “BETA.<currency>.<issuer_code>.<seniority>”. The seniority can be set as “ANY” if the seniority of the issuer is not specified.

 Ⓘ   [NOTE: This pricer measure is not for use in conjunction with Horizon or Risk reports that shift Points (Simulation, Scenario)]

This is applicable only to CDS Index trades.

PV01_Credit_Spread is defined as bumping the underlyings of all the credit curves by 1bp and pricing the index off NPV_FROM_QUOTE = False.

 Ⓘ   [NOTE: This pricer measure is not for use in conjunction with Horizon or Risk reports that shift Points (Simulation, Scenario)]

PV01_DISC is the same as PV01_CREDIT except that it uses a discount curve in the absence of a probability curve.

Applies to inflation swaps and inflation bonds.

Change in NPV for 1bp change in index level points on the inflation curves.

PricerSwap.

Breakdown of PV01 by leg.

Class tk.core.TabularPricerMeasure.

This is applicable to CDS Index, CDS Index Tranches, CDS NthDefault, and CDSNthLoss trades.

Defines a tabular pricer measure that displays pricer measures for each name in the index: PV01_CREDIT and Hedge Ratio.

PricerCreditDefaultSwapRisky.

Dependence on the protection seller probability curve.

This measures the change in NPV for 1% rise in recovery rate:

Credit Exposure = NPV + Notional (1 - Recovery Rate) + Accrual

If Bond is priced from Credit Curve, we bump the recovery curve by 1bp and regenerate the probability curve.

PV01_RECOVERY = Bumped theoretical price - theoretical price

If Bond is priced from Quote, we do not calculate any PV01_RECOVERY.

The Recovery rate is moved up by 1%. The difference in NPVs is the PV01_RECOVERY. The Credit curves are not regenerated.

For CDS Index pricers, setting NPV_FROM_QUOTE = false will compute from component curves as per CDSIndexNthLoss. Setting NPV_FROM_QUOTE = true will look up the recovery rate (param and recovery curve or hardcoded to 40%) and bump it 1%.

For PricerCDSIndexCurve, the system looks up the recovery rate (param, recovery curve and probability curve or hardcoded to 40%) and bump it 1%.

The system does not recalibrate the survival probability.

The change in NPV that results from shifting the subordination upward by 1 basis point.

Used for Treasury Lock trades.

The PV01 of the bond underlying.

The value of 1bp accruing on the schedule of the underlying of a swaption or cap/floor option.

For Repos.

PV of the trade collaterals. Same as PV pricer measure for the same bond/equity trade as the collateral with settle date = repo start date.

= Sum (dirty market price * nominal) for all collaterals

Calculates a delta of NPV between 2 dates (NPV on Valuation Date - NPV on Valuation Date + lag).

For future pricers, the measure returns the following:

= (FuturePrice - LastClearedPrice) * DealQty * tick size * tick value

Where:

The netted value of the bond.

For positions, open quantity.

For OTC trades, 1 or -1.

Displays the price based on the appropriate formatting for the bond quote type. For example, if the quote type is UnitaryPrice or GrossUnitaryPrice, the QUOTE_TYPE_PRICE will be based on the face value like those quote types.

Class tk.pricer.PricerMeasureCumulativeCash.

Indicates the realized amount for position based products.

For OTC trades, please use CUMULATIVE_CASH instead.

Sum of Accruals and Coupons Paid/Recd and Accrual Bought/Sold.

PricerCorrelationSwap.

The realized correlation for the Realized Correlation Days, which is the count of all Observation dates that are less than or equal to the Valuation date.

PricerVarianceSwap.

Observed (realized) volatility on a particular date. If a date is not passed, then it returns the total volatility for the period.

Rho by perturbation not analytical for the primary currency.

REAL_RHO and REAL_RHO2 use the same perturbation object for both the forward and the option, and you can choose between a parallel shift (pricing parameter RHO_SHIFT_UNDERLYINGS = False) or underlyings shift (pricing parameter RHO_SHIFT_UNDERLYINGS = True).

Rho by perturbation not analytical for the secondary currency.

REAL_RHO and REAL_RHO2 use the same perturbation object for both the forward and the option, and you can choose between a parallel shift (pricing parameter RHO_SHIFT_UNDERLYINGS = False) or underlyings shift (pricing parameter RHO_SHIFT_UNDERLYINGS = True).

The change of option price with time including the effect on the volatility surface and interest curves.

Note that if there is one day or less to expiry, REAL_THETA is set equal to THETA. This is because volatility after expiry is not needed, so the volatility simulation component of REAL_THETA would give anomalous results; in addition the fees from exercise are ambiguous to handle for theta purposes.

For bonds: real_yield = yield

For inflation bonds: yield = IRR of inflation adjusted bond

For index-linked bonds: real_yield = IRR of inflation UN-adjusted bond

= Cash Principal * Cash Reinvestment Rate * Period / Daycount Denominator

Where Period is the same period as the interest flow.

Credit derivatives pricers.

B/E rate of the deal with same terms and conditions as the existing deal's terms and conditions, but with the start date as spot date relative to valuation date.

Fwd Rate from Zero Curve + Repo Rate from Repo Curve.

RHO measures the NPV sensitivity to 1% changes in the Primary currency yield curve. The sensitivity is measured based on a 1 bp shift, but since the sensitivity is rescaled by a factor of 100, it is a first-order change in NPV due to a 100 bps shift.

RHO measures the NPV sensitivity to 1% changes in the Secondary currency yield curve. The sensitivity is measured based on a 1 bp shift, but since the sensitivity is rescaled by a factor of 100, it is a first-order change in NPV due to a 100 bps shift.

FX Option Window Barriers. Rho quoting rate at the barrier end date.

FX Option Window Barriers. Rho quoting rate at the option maturity date.

FX Option Window Barriers. Rho quoting rate at the barrier start date.

Delta of NPV over Delta of growth rate, for a shift of growth rate of 1 basis point.

FX Option Window Barriers. Rho primary rate at the barrier end date.

FX Option Window Barriers. Rho primary rate at the option maturity date.

FX Option Window Barriers. Rho primary rate at the barrier start date.

When pricing a swaption using PricerSwaptionSABR, you can compare the SABR Greeks and the Black Greeks using the SABR_GREEKS pricer measure.

The SABR Greeks can be compared with the individual pricer measures on PricerSwaptionSABR, whilst the Black Greeks can be checked against PricerSwaption.

For the SABR model, it allows viewing the details of the model’s parameters.

 Ⓘ   [NOTE: When a user enters a value for the pricing parameter SABRIMPLIEDVOL or VOLATILITY, the model switches to the Black model, so VEGA returns the Black Vega, and IMPLIEDVOLATILITY returns the Black equivalent volatility]

Sales margin profit since the last cashflow payment date.

Sales margin profit since the contract start date.

Settled cash associated with sales margins.

Projected Total PL Amount over the whole trade’s life.

Difference between SALES_NPV and SALES_ACCUMULATED_ACCRUAL.

SALES_NPV represents the NPV of all future sales margin amounts as of the valuation date.

The value before the spot date is the discounted sales margin.

The value on the spot date and after is the sales margin.

If you specify the sales margin in a third currency, the application converts the Sales NPV into the base and quoting currency using the last available quote.

 Ⓘ   [NOTE: Sales margin is always positive]

Class tk.pricer.SecFinancePricerMeasure.

Gives the bond coupon amount whose payment has been delayed to the repo end date when "Sec. Pass-Through" is not selected on the trade.

Class tk.pricer.SecFinancePricerMeasure.

The effective margin on a SecLending trade.

SEC_FIN_EFFECTIVE_MARGIN = (SEC_FIN_LIABILITY / SEC_FIN_SECURITY_VALUE) * Initial Margin

Where Initial Margin is the margin as booked on the trade.

SEC_FIN_NOMINAL_MARGIN = (SEC_FIN_LIABILITY / SEC_FIN_SECURITY_VALUE) * Initial Margin

Where SEC_FIN_SECURITY_VALUE is using price = 100%, and Initial Margin is the margin as booked on the trade.

Class tk.pricer.SecFinancePricerMeasure.

The SEC_FIN pricer measures are used in MARGIN_CALL calculation on security finance trades.

MARGIN_CALL = - (SEC_FIN_LIABILITY + SEC_FIN_SECURITY_VALUE)

SEC_FIN_LIABILITY

Sum of Principal flows, plus trade interest/fee accrual (at Val Date, if applicable) in Trade currency.

SEC_FIN_LIABILITY = SEC_FIN_LIABILITY_ACCRUAL + SEC_FIN_LIABILITY_PRINCIPAL

SEC_FIN_LIABILITY_ACCRUAL

Accrued Interest liability component.

SEC_FIN_LIABILITY_PRINCIPAL

Principal liability component.

SEC_FIN_SECURITY_VALUE

Sum of Collateral value(s) (at Val Date) adjusted by Haircut/Margin (if applicable) in Trade currency.

For SecLending Sec Vs Sec trades, it is the value of the collaterals.

The calculation breakdown of SEC_FIN_SECURITY_VALUE can be seen in the SEC_FIN_PRICING_XXX pricer measures.

 Ⓘ   [NOTE: In the context of SEC_FIN_LIABILITY and SEC_FIN_SECURITY_VALUE calculation, the DisableEOM book attribute is always forced to true]

Class tk.pricer.SecFinancePricerMeasure.

Interest at the maturity of a SecFinance trade (Repo: Standard, Pool, Triparty, and SecLending: Sec Vs Cash).

It gives the value of the interest cashflow at the repo end date, or at the callable date for OPEN term repos.

Note that it is not val date sensitive and is always based on the latest trade version so that all lifecycle events and trade amendments affecting the interest calculation at Repo end date are considered.

Class tk.pricer.SecFinancePricerMeasure.

The SEC_FIN_PRICING_XXX pricer measures provide the calculation breakdown of SEC_FIN_SECURITY_VALUE, taking into consideration the pricing parameter context defined either in the MCC, the Legal Agreement, or the generic parameter set.

These pricer measures duplicate each ‘Pricing.XXX’ normalized value for a given single-collateral trade. Multi-collateral trades are not currently supported.

See Security Finance Collateral Report for details on the 'Pricing.XXX' values.

SEC_FIN_PRICING_ACCRUAL

Pricing.Accrual

SEC_FIN_PRICING_ACCRUAL_AMOUNT

Pricing.Accrual Amount

SEC_FIN_PRICING_ALLIN_VALUE

Pricing.All In Value

SEC_FIN_PRICING_CLEAN_PRICE

Pricing.Clean Price

SEC_FIN_PRICING_FX_RATE

Pricing.Transaction FX Rate

SEC_FIN_PRICING_HAIRCUT

Pricing.Haircut

SEC_FIN_PRICING_NOMINAL

Pricing.Nominal

SEC_FIN_PRICING_PRICE

Pricing.Price

SEC_FIN_PRICING_VALUE

Pricing.Value

Class tk.pricer.SecFinancePricerMeasure.

The settled interest of a security finance trade.

Class tk.pricer.SecFinancePricerMeasure.

Sum of (paid/received interest + SecLending fees) having Val Date > Payment Date.

Class tk.pricer.SecFinancePricerMeasure.

Sum of (interest + SecLending fees) having Val Date > End Date and Payment Date > Val Date.

Sum of transfer 'Amount' for any unsettled PRINCIPAL or MARGIN transfers with Settle Date ≤ Val Date, plus transfer 'Other Amount' for any unsettled SECURITY transfers with Settle Date ≤ Val Date.

Net sum of past cashflows for IRD trades.

This is a custom pricer measure available under calypsox/tk/pricer/PricerMeasureSETTLED_CASH.

Total gain or loss on a product on maturity date.

Sum of the Clean Price, the product of Accrual and Quantity and the Fees:

= Clean Price + (Accrual * Quantity) + Fees

CDS Index Trades

Accrual portion of SETTLEMENT_AMOUNT.

Security Lending Trades

If the trade is Terminated and Payment Date is > Val Date:

SETTLEMENT_AMOUNT_ACCRUAL = SEC_FIN_UNSETTLED_INTEREST + Sum of Late Settlement Fees with Known Date > Val Date and Payment > Val Date

Else:

The Late Settlement Fee type is defined in domain “lateSettlementFeeType”.

This pricer measure is available for all asset types. It is:

For an FXNDF after the FX reset, the SETTLEMENT_VALUE pricer measure is converted between primary and quoting currency using the Reset Price.

Shares accrued for delivery at next settlement date (accumulator product).

Credit derivatives pricers.

SLIDE = TIME - CARRY

Only used on the Pricing Grid.

Uses a valid tenor or a specific date to find the baseline val date. Diff values are displayed as base points and represent the difference between the current value and the value for the given baseline val date and time.

The yield on the reference product.

SPREAD_01 is the PV change from 1 bp shift to the Yield Spread Curve or Benchmark Yield Curve when the bond is priced with BOND_FROM_QUOTE = false and the bond is spread quoted against a benchmark bond.

With BOND_FROM_QUOTE = true, SPREAD_01 is the PV change from 1bp shift to the spread quote.

When the bond is not spread quoted, the benchmark spread is computed and then used to compute SPREAD_01.

 Ⓘ   [NOTE: This pricer measure is not for use in conjunction with Horizon or Risk reports that shift Points (Simulation, Scenario)]

Sum all the future cashflows. It is the equivalent of the NPV without the discounting.

PricerBondAssetBackedAUD.

Swap rate.

Yield from settlement to the maturity.

Class tk.pricer.PricerMeasureTripartyExpsoure

Sum of the collateral value of all collateral received in the last MT569 using Calypso valuation.

Class tk.pricer.PricerMeasureTripartyExpsoure

Exposure amount (matched)

Unused amount of a Credit Facility.

The price using the curve.

Theta is the change in an option's value relative to a change in the time left to expiry. In other words, Theta measures how much an option's value changes with changes in time to maturity. Mathematically, this is the partial derivative of the option price with respect to the time to maturity.

Time decay with forward rate held constant; numerically computed for one day.

Theta expressed as a percentage.

Credit derivatives pricers.

This the difference between NPV on Valuation date and NPV on one business day after Valuation date with valuation date market data.

Class tk.pricer.PricerMeasureTIME_VALUE.

For cap/floors using PricerCapFloorBpVol.

For swaptions using PricerSwaptionBpVol.

For equity vanilla options using Black1FAnalyticVanilla, Black1FAnalyticDiscreteVanilla, Black1FFiniteDifference.

Time value of the option.

For Commodity OTC Options using PricerCommodityOTCOptionAnalytic.

For Commodity Swaptions using PricerCommoditySwaption2.

Applies to bonds.

Total amount of interest on position.

Applies to bonds.

Total amount of the principal paid down since the position inception.

Applies to bonds.

Price of total paydown = TOTAL_PAYDOWN * position price / 100.

Class tk.pricer.calculators.PricerMeasureBond.

Used in Taiwanese bills. Per local market practice, the face value for a TWN bill should set up with 100,000, while the price base for the same bill should be in 10,000.

The base is controlled by the Issue Price Base product code.

See "Specifying Taiwanese Bonds" in Calypso Fixed Income documentation for details on the Issue Price Base product code.

While DIRTY_PRICE_SCALED is the market price, i.e. the market quote on valuation date, TRADE_DIRTY_PRICE_SCALED is the price of the original trade, i.e. what you paid for the bond. It does not change over time.

The trade NPV minus the PV associated with any sales margins (in FX, spot_margin and far_margin).

For FX Options.

Number of trading days from current date time to FX Option expiry date time.

For PricerBondAssetBackedAUD.

Trading margin – spread over the cash rate.

Class tk.pricer.PricerMeasureTranslationRisk.

When the PL is in a different currency than the base currency, the translation risk displays the PL converted to the base currency using the spot rate. The base currency is the Base Currency defined in the pricing environment.

Time to expiry of an option.

For option pricers.

Theoretical Value computed with Black & Scholes model and ATM volatilities.

For Bond Options - NPV of the underlying on Val Date.

For Future Bonds - NPV of the underlying on future settle date.

For Repos - Only if trade has only one collateral, dirty price of the underlying.

Class tk.pricer.PricerMeasureUNDERLYING_PV01.

Compatible with Swaption pricers, with the exception of PricerSwaptionLGMM1F.

Used to express the PV01 of the underlying Swap.

Equity,EquityLinkedNote - quote of the underlying product on value date.

EquityLinkedSwap - only if it has a performance leg, quote of the underlying product on value date.

FutureCommodity - quote of the underlying product from the contract on value date.

FX, FX Forward, FX Swap & FX NDF - displays spot rate used by the pricer; rate is rounded to currency pair forward rounding decimals set in Currency Defaults.

Cash amount before the gain or loss on a product has been calculated.

Class tk.pricer.PricerMeasureUnsettledCash.

Accruals, unsettled notional, unsettled fees.

For bond pricing.

Shows the interest accrued between the spot settlement date (t+ settle days) and the value date (t). After the value date, this value is moved to the total interest. The value will be 0 if coupon ex-dividend date is not in this range.

Gilt bonds go ex-dividend the business day after the ex-dividend date, so for Gilt bonds the value will be 0 if valuation date does not fall between (ex-dividend date + 1 business day) and coupon date.

Unsettled quantity on position.

All realized gain or loss before the payment has been made.

DF weighted average strike.

Class tk.pricer.PricerMeasureChilean.

Value of the trade (NPV) for Chilean bonds.

= (Trade Nominal * ValorActual) / 100

Class tk.pricer.PricerMeasureChilean.

Actual Price for Chilean bonds.

= 100 * (ValorPar / Precio)

Class tk.pricer.PricerMeasureChilean.

Market value of a Chilean bond, displayed in CLP. If the bond is denominated in CLP, then identical calculation as VALOR. If the bond is issued in CLF or UF, then calculated as:

= Round(VALOR) * FX Rate

The rounding precision can be set in the “Pre FX Settlement Amount” rounding rule in the bond definition Market panel.

Note that this rounding is not applied to the VALOR pricer measure itself.

Class tk.pricer.PricerMeasureChilean.

Calculated as:

= K(1+y_t)^ACT/365

You can use a different daycount by specifying it in the security code VALOR_PAR_DAYCOUNT. Otherwise ACT/365 is used.

Bonos de Reconocimientos

Bonos de Reconocimiento use a different formula for VALOR_PAR, calculated as:

IPC₁/IPC₂ * (1 + R)^AC * (1 + (R/12) * M)

The time taken by the core valuation routine to compute the requested measures. It explicitly does not include the model calibration time.

The sensitivity of the present value to changes in rho; computed numerically.

Change in an option's value relative to a change in the underlying instrument's volatility. Mathematically, this is the first partial derivative of the option price with respect to volatility.

Vega expressed as a percentage.

Class tk.pricer.PricerMeasureVegaPoints.

The points on a volatility surface required by a pricer.

Double-click the pricer measure to open the VEGA_POINTS dialog window. It shows the points on the volatility surface to which the trade will have sensitivities.

FX Option Window Barriers. Vega at the barrier end date.

FX Option Window Barriers. Vega at the option maturity date.

FX Option Window Barriers. Vega at the barrier start date.

Used for future options. This is the spread over the Risk free volatility surface which ensures that the Theoretical Price of the Future Option matches the Quoted Price.

It can be positive or negative. The sum of VOLATILITY_SPREAD + IMPLIED_VOLATILITY, however, can only be positive. When the intrinsic value (underlying Future quote – Strike price) of the future option is greater than the quoted option price, the "adjusted" theoretical price will not exactly match the quoted option price.

The sensitivity of the present value to changes in nu; computed numerically.

Weighted Average Life of a bond - Average time to receive the principal cashflows of the bond weighted by the individual principal payments.

The formula for the WAL is as follows:

Where:

The weighted vega calculation based on a user defined volatility weighting.

W_VEGA = Beta * Vega

The numerical (as opposed to theoretical) calculation of Vega based on weighted volatility.

W_MOD_VEGA = Beta * mod_vega

W_SHIFT_MOD_VEGA = Price (Current Vol + Beta) – Price (Current Vol)

Bond equivalent yield.

More frequently than annually, it uses a mixture of annual and less than annual compounding.

No longer computed.

Use ACCRUAL_YIELD, PREM_DISC_YIELD, and YIELD_SETTLE_DATE instead.

For semi-annually compounded bond equivalent yield and its calculations.

Used for Treasury Lock trades.

Change in NPV of the Treasury Lock based on 1 basis point increase in the spot bond yield.

YIELD as of the settlement date of the bond trade but using the current set of cashflows.

This does not require a quote in order to be calculated.

There is a menu item on the Bond trade window "Show Yield Settle Date Flows" to show the flows that are used when computing YIELD_SETTLE_DATE.

Note that these cashflows are read-only.

These cashflows are a combination of the original settlement price, and actual (historical) and projected (future) cashflows. Actual cashflows come from factors and historical coupon payments. Projected cashflows come from the imported external cashflows.

Class tk.pricer.calculators.PricerMeasureBond.

For callable bonds only, this is the highest yield to all callable dates.

For callable bonds.

Yield of the bond if it is called or put at the next possible call/put date.

Class tk.pricer.calculators.PricerMeasureBond.

For callable bonds with Effective Call = Custom, and a Call Date set.

Yield of the bond if it is called on the custom date specified in the bond definition.

Class tk.pricer.calculators.PricerMeasureBond.

For callable bonds.

Yield of the bond if it is not called.

For callable bonds only, this is the lowest yield to all callable dates.

YIELD_TO_WORST is used as YIELD for DURATION, MODIFIED_DURATION, CONVEXITY, and PV01 calculations.

Class tk.pricer.calculators.PricerMeasureBond.

For callable bonds only, this is the effective callable date (YIELD_TO_BEST expressed in Julian year): the next call or put date when Effective Call = Next, the entered call date when Effective Call = Custom, and the best callable date when Effective Call = Best.

For callable bonds only, this is the effective callable date (YIELD_TO_WORST expressed in Julian year): the next call or put date when Effective Call = Next, the entered call date when Effective Call = Custom, and the worst callable date when Effective Call = Worst.

The static spread over the Zero curve which makes the Theoretical Price equal to the Market Price (Price from Quotes).

There is a difference between INSTRUMENT_SPREAD and Z_SPREAD. INSTRUMENT_SPREAD takes the credit curve to price the Bond and Z_SPREAD does not take the credit curve to price the bond.

When a call schedule is defined, it is calculated up to next call date rather than trade maturity date.

Swaps / Futures / Futures Options / Forwards : Trade Quantity

OTC Options: Trade Quantity * Direction

Precious Metals Spot / Forward: Trade Amount in primary currency

Precious Metals Deposit / Lease: Trade Quantity

Precious Metals Lease Rate Swap: Trade Notional

Single Name CDS / CDS Loans / Contingent CDS / Nth Loss / Nth Default / CDS Indices / CDS Index Tranche / CDS Index Options / CDS Swaption / CDS ABS / CMS CDS: Trade Notional

Asset Swap / CDS Index Tranche Option / CDS ABS Index / CDS ABS Index Tranche: Not currently implemented

Credit Futures: Trade Quantity

Performance Swap when using Pricer = PerformanceSwap: Notional

Performance Swap when using Pricer = PerformanceSwapAccrual: Funding Leg Notional

Equity / ADR / Warrants / Futures / Future Options / Unitized Funds / ETO Options: Trade Quantity

Equity Derivatives Single Asset (Forwards, Swaps , OTC Options): Trade Quantity

Equity Derivatives Basket (Forwards, Swaps, OTC Options): '1' or the number of baskets

Variance Swap / Variance Option / Correlation Swap: Trade Variance Notional for variance trades, or Trade Notional otherwise

Bonds / Bond Futures / Bond Future Options: Trade Quantity

Bond Options: Trade Notional

Security Lending / Repo: Not currently implemented

FX Deal Station: Trade Amount in primary currency

FX Futures: Trade Quantity

FX Options: Trade Amount in primary currency

Swaps / Swaptions / Cap Floors / Spread Locks: Current Notional as of Valuation Date

Cancelable Currency Swaps / Cancelable Swaps: Not yet implemented

Treasury Locks: Trade Quantity

Letters of Credit / Advances: Trade Notional

Swaps / Swaptions / Futures / Futures Options: Trade Quantity

OTC Options: Trade Quantity (same sign as CA_QUANTITY)

Precious Metals Lease Rate Swap: Trade Nominal

Commodity Forward: Quantity * Trade Price

Single Name CDS / CDS Loans / Contingent CDS / Nth Loss / Nth Default / CDS Indices / CDS Index Tranche / CDS Index Options / CDS ABS / CMS CDS: Trade Notional

Asset Swap / CDS Swaption / CDS Index Tranche Option / CDS ABS Index / CDS ABS Index Tranche : Trade Notional

Credit Futures: Trade Quantity

Performance Swap: Notional

Equity / ADR / Warrants / Futures / Future Options / Unitized Funds / Lending: Trade Price * Trade Quantity

Equity Derivatives Single Asset (Forwards): Trade Price * Trade Quantity

Equity Derivatives Single Asset (Swaps , Linked Swap): Trade Quantity

Variance Swap / Variance Option / Correlation Swap: Trade Variance Notional for variance trades, or Trade Notional otherwise

Bond Structured Note: Trade Nominal

Bonds / Bond Futures / Bond Option / Bond Future Options / Security Lending / Repo: Trade Notional

Issuance: Trade Quantity

FX Deal Station: Trade Amount in quoting currency

FX Futures: Trade Quantity * Trade Price

FX Options: Trade Notional

Position Cash: Trade Quantity

Swaps / Swaptions / Spread Locks / Spread Swap / Cancelable Swap / Capped Swap / Cap Floor / Extendable Swap / Spread Cap Floor: Trade Notional as of Valuation Date

Treasury Locks / Trigger Swaption / Exotic Cap: Trade Amount in primary currency

Advances: Trade Quantity

Forwards / Lease rate Swaps / Depo Lease: CA_PV / CA_NOTIONAL

OTC Options / Swaps / ETOs / Future Options / Futures: PRICE

CDS / CDS on ABS /CDS Index / CDS Index Tranche / Nth Loss / TRS / TRS on ABS: PRICE

CDS Index Option: CA_PV / CA_NOTIONAL

ADR / Cash / ETOs / future Options / PSP / Warrants: PRICE

Options / Swaps / Variance Swaps: CA_PV / CA_NOTIONAL

Bonds / Asset Backed Bonds / FRNs / Future Options / Futures: PRICE

Options / Repos / Securities Lending: CA_PV / CA_NOTIONAL

Currency Exchange: Market FX Rate

NDFs / Forwards: Market FX Forward Rate

Position Cash: N/A

Amortizing Swap / Cancelable Swap / CapFloorCollar / eXSP / FRA / Inflation Swap / IR Swap / Swaptions / Cross Currency Swaps: CA_PV / CA_NOTIONAL

Forwards / OTC Options / Swaps / Lease Rate Swaps: FEES_NPV

(CA_COST only includes FEES_NPV for commodity forwards until the settle date. On or after the settle date, CA_COST is zero.)

ETOs / Future Options: (Trade Quantity * Trade Price (0 after settlement)) + FEES_NPV

Futures: (Trade Quantity * Trade Price) + FEES_NPV

Depo / Lease: Trade Principal + FEES_NPV

Certificates: Certificate Delivery Price * Quantity

CreditDefaultSwap / CDSNthDefault / CDSNthLoss / CDSIndex / CDSIndexTranche: FEES_NPV - Projected Fees

All other products: FEES_NPV

ADRs / Cash: (Trade Quantity * Trade Price) + FEES_NPV

Options / Swaps / Variance Swaps / Warrants: FEES_NPV

ETOs / Options: (Trade Quantity * Trade Price (0 after settlement)) + FEES_NPV

Bonds / Asset Backed Bonds / Futures / FRNs: (Trade Quantity * Trade Price) + FEES_NPV

BondMMInterest: (Nominal * Factor * Trade Price/100) + FEES_NPV

Options: FEES_NPV

Future Options: (Trade Quantity * Trade Price (0 after settlement)) + FEES_NPV

Future Options: (Trade Quantity * Trade Price (0 after settlement)) + FEES_NPV

Futures: (Trade Quantity * Trade Price) + FEES_NPV

Currency Exchange / NDFs / Forwards / Position Cash: FEES_NPV

Amortizing Swaps / Cancellable Swaps / CapFloorCollar / eXSP / FRAs / Inflation Swaps / IR Swaps / Swaptions / Cross Currency Swaps: FEES_NPV

Swaps / Futures / Futures Options : Trade Quantity

OTC Options: Absolute (Strike * Total Quantity)

Precious Metals Lease Rate Swap: Trade Nominal

Commodity Forward: Quantity * Trade Price

Single Name CDS / CDS Loans / Contingent CDS / Nth Loss / Nth Default / CDS Indices / CDS Index Tranche / CDS Index Options / CDS ABS / CMS CDS: Trade Notional

Asset Swap / CDS Swaption / CDS Index Tranche Option / CDS ABS Index / CDS ABS Index Tranche: Trade Notional

Credit Futures: Trade Quantity

Equity / ADR / Warrants / Futures / Future Options / Unitized Funds / Lending: Trade Price * Trade Quantity

Equity Derivatives Single Asset (Forwards): Not currently implemented

Equity Derivatives Single Asset (Swaps , Linked Swap): Trade Quantity

Variance Swap / Variance Option / Correlation Swap: Trade Variance Notional for variance trades, or Trade Notional otherwise

Bonds / Bond Futures / Bond Option / Bond Future Options / Security Lending / Repo: Trade Notional

Issuance: Trade Quantity

FX Deal Station: Trade Amount in quoting currency

FX Futures: Trade Quantity in contract currency

FX Options: Not currently implemented

Swaps / Swaptions / Spread Locks / Spread Swap / Cancelable Swap / Capped Swap / Cap Floor / Extendable Swap / Spread Cap Floor: Trade Notional as of Trade Date

Treasury Locks / Trigger Swaption / Exotic Cap: Trade Amount in primary currency

Advances: Trade Quantity