Pricing Parameters

No longer used as of version 10.0 – It has been replaced by INTG_MTHD_CR.

Used in Bond pricing

Controls how the PV of cashflows are calculated.

EIRBasedAccretion

When set to EIRBasedAccretion for bonds, the calculations are based on the stored initial discount margin or credit spread entered by the user. It must be used in conjunction with pricing parameter FORECAST_FROM_CURVE = True.

The initial discount margin value is stored in the trade keyword CreditSpreadForEIR. By default, it is the Calypso-calculated discount margin, but you can enter a credit spread instead using the trade keyword TraderCreditSpreadForEIR. Note that once the trade is validated, this value must not be changed for the life of the trade. The scheduled task CREDIT_SPREAD_FOR_EIR is available for recalculating CreditSpreadForEIR at end of day in case the pricing environment used at trade inception is not the same as that used for accounting purposes.

 Refer to Calypso Scheduled Tasks documentation for details.

The EIR is calculated for the given period and new Book Value. The EIR and Book Value are stored at the beginning of each coupon period. The PREM_DISC_YIELD is calculated by taking the difference between the Book Value at valuation date and the original settlement amount.

ProspectiveToMaturity

When set to ProspectiveToMaturity for floating rate bonds, it uses constant latest reset for computing yield during forecasting. On every BEG_PER reset date the yield is computed, and this yield is used while valuing between that coupon period.

The scheduled task SAVE_CUMACC_PROSPECTIVE_METHOD is available for marking values for prospective yield calculation. This allows the prospective yield calculation to be more efficient by not having to be constantly recalculated.

 Refer to Calypso Scheduled Tasks documentation for details.

Used in RFR Swap pricing, RFR Capfloor Pricing and RFR Structured Flows pricing

True or false. It affects the computation of ACCRUAL and ACCRUAL_FIRST, only for averaging swaps, averaging structured flows and capfloor trades (compounding and averaging).

If true, the accrual is computed directly based on existing resets. If false, the accrual is computed using the forecasting logic. That means using projected amount * correspondent accrual ratio.

Used in Interest Bearing pricing

True or false. If set to true (default), ACCRUAL_FIRST is computed on Friday, and carried over Saturday and Sunday (non business days).

If set to false, ACCRUAL_FIRST is computed every day even on non business days.

Used in Swap pricing

True or false. If true, the accrual computation starts from the Trade Date. Otherwise, it starts from the Start Date.

Default is false.

Used in INTEREST cashflow calculation (CashFlowInterest)

True or false. If true, accrual will be calculated until the payment date.

Default is false.

Used in PricerExoticSwap and PricerSwap

True or false. If true, the "Price(end)" will pick up the last published inflation value.

Default is false.

Only impacts the following leg types: Float leg using Inflation type Rate Index, and Exotic leg using Performance Array Variables. Exotic legs (typed or directly structured) must have the following Array Variables defined:

Used in PricerSwap and PricerStructuredFlows

Applies to daily compounding cashflows using the DailyCompound2 index calculator.

True or false.

If set to false (default), ACCRUAL pricer measures use an unrounded daily compounded accrual rate.

If set to true, ACCRUAL pricer measures use a rounded daily compounded accrual rate for known rates, based on trade level rounding if set, or the FINAL_RATE_ROUNDING and FINAL_RATE_ROUNDING_DECIMALS rate index attributes otherwise. Projected accrual rates are not rounded.

Used in PricerLGMM1FBackward

Accuracy of pricing, range from 0-11, 0 being the least accurate (fastest) and 11 being the most accurate (slowest).

Used in PricerBlack1FFiniteDifference and PricerLocalVolatility1FFiniteDifference

True or false. True to allow adjusting the boundaries of the lattice while pricing barrier options. False otherwise.

Used in Swaption and Cancelable Swap pricing

True or false. True to compute pricer measures using the adjusted strikes, or false otherwise.

Used every time FX spot rates are calculated

True or false. True to adjust the spot rate for a triangulated currency pair where the spot days of one pair of the triangle is not the same as the spot days of the other pair.

If true, curves are used to move the quote of one pair to the spot date of the resulting pair.

Default is false.

The FXForwardCrossRate generator respects the ADJUST_FX_SPOT_MISMATCH parameter.

If ADJUST_FX_SPOT_MISMATCH is true, then the cross spot rate is adjusted for spot mismatch.

If ADJUST_FX_SPOT_MISMATCH is false, then the cross spot rate is not adjusted.

When pricing parameter FX_POINTS = True, by default, mismatch points come from underlying discount curves. When domain "FXMismatch.useFXCurve" contains Value = true, mismatch points from FX curves.

Used in FX pricing

True or False. Specifies whether to adjust the current spot rate to obtain the rate for settlement on the quote date rather than on the spot date (two business days after the quote date).

The most common setting is ADJUST_FX_RATE set to true and ZD_PRICING set to true.

If false: Use the spot rate to convert currency. Default is True.

If true: "Today's Rate" is used for conversion of currency. This rate is obtained from the spot rate by discounting, using the two discount curves for the relevant currencies. The usual no-arbitrage condition is used to obtain the adjusted rate.

In the Product Specific panel of the Pricer Config, you can specify a curve for any product with the ADJUST_FX usage. If such a curve is specified and the pricing parameter ADJUST_FX_RATE is true, it will be used in adjusting Value Spot FX rates to Value Today rates.

If no curve has been specified with this usage, then the discount curve for the currency (and optional product type) will be used.

Equity Linked Swap

For Equity Linked Swap, Swap product Accrual numbers will match when ADJUST_FX_RATE is set to False, and that ADJUST_FX_RATE is not considered while calculating the Accrual Pricer. Default is True.

Cross Currency Swaps

PricerSwap calculates the forward FX rate without regard to the ADJUST_FX_RATE flag, using discount factors from the “FX Spot Date” to the “FX Forward Date”.

Used in FX Options pricing

It applies to the following pricers: FXOTheoretical, FXOMarket, FXOVannaVolga, PricerBlackNFMonteCarloExotic (on FX Pricing Script).

It only applies when pricing parameter INCLUDE_FEES is set to true.

If ALL_MEASURES_INCLUDE_FEES is set to false, the default INCLUDE_FEES behavior applies.

If ALL_MEASURES_INCLUDE_FEES is set to true, all sensitivity pricer measures will include fees in addition to NPV: DELTA, VEGA, MOD_DELTA, RHO_PRIMARY, REAL_RHO_QUOTING, THETA, etc.

Used in CDSNthLoss pricing

True or false. When false, no mapping is done and correlations are just read directly from the given correlation surface, or you can provide a correlation surface generated using the BespokeCorrelation generator.

When true, you must provide a correlation surface with expected losses.

Used in Bond pricing

True or false. True to calculate the accrual by taking the ex-dividend period into account, or false to ignore the ex-dividend period.

Default is false.

Used in Bond pricing

True or false. True to compute ACCRUAL_BO for the ex-dividend period, or false to compute on a daily basis.

Default is false.

Used in Interest Bearing calculation

True or false. True for the InterestBearing product type to allow calculating interest with negative rate, or false otherwise.

Used in Interest Bearing calculation

Only applies if pricing parameter ALLOW_NEGATIVERATE is set to true.

You can set the starting date to consider negative rates using the format MM-DD-yyyy.

Used in SABR Volatility generation, and PricerSwaptionSABR

Volatility parameter of the model.

Used in Bond pricing

True or false. True to compute the PL based on CleanPrice + Accrual on ValDate if we are on or after the SettleDate, or false to compute PL based on Dirty Price.

If set to true and ZD_PRICING is set to false, PV measures, NPV measures and NOTIONAL measures use the ValDate as the settlement date for valuation. ZD_PRICING does not take into account cashflows between valuation date and settlement date.

If set to false, PV measures, NPV measures and NOTIONAL measures use the ValDate + Settle Days as the settlement date for valuation, i.e. the spot settlement.

For SecLending and Repo trades, set to false so Settle Days will be taken from Bond Product Definition for NPV_COLLAT and PV_COLLAT.

When ALTERNATE_PL is true, we price all pricer measures for bonds by iterating over the trade open quantities.

Default is false.

This is set to true for equities in the P&L calculators to prevent an incorrect impact on equity fees.

Used in Performance Swap pricing

Only if you are using pricerPerformanceSwapAccrual. Set to TRUE to calculate NPV and ACCRUAL according to CLEAN Price + accrual on Val date. If FALSE NPV and ACCRUAL use the ValDate + Settle Days as the settlement date for valuation, i.e. the spot settlement.

Used in Swaption pricing

True or false. Specifies whether to use the "overlap" versus the "non-overlap" method for the volatility calculation of amortized swaptions.

Default is false, no overlap.

 Refer to Calypso Interest Rate Derivatives Analytics for details.

Used in PL computation

True or false. True to compute the PLBase(day) and PLBase(month) using today’s FX rate. When false, and there are no open positions (the position is closed), PLBase(day) and PLBase(month) use an FX rate of 1.

Used in Bond pricing

True or false. If set to true AND if pricing from curves (BOND_FROM_QUOTE = false), the discount and redemption discount curves will be shifted by the instrument spread before performing any calculations. All pricer measures are priced using the shifted curves, except for Instrument_Spread and Z_Spread.

Because all measures use the shifted curves, a forward price projected with the curves will be consistent with the current quoted price.

Default is false.

Used in Commodity CapFloor pricing

ASK_VOL_SPREAD is used in a SELL to add an offset to the mid-volatility surface to increase the volatility which effectively increases the price of the trade. BID_VOL_SPREAD is used in a BUY to reduce the price. Both parameters can be overwritten by the existing parameters VOLATILITY, CALL_VOLATILITY, and PUT_VOLATILITY.

Used in Bond pricing

Quote name used to calculate the ASSET_SWAP_SPREAD_REF pricer measure, which is the asset swap spread relative to a given reference index.

You can set the quote name as “<currency>.<reference index>.<tenor>.<source>” (example USD.LIBOR.3M.BBA) or any combination like “<currency>”, “<currency>.<reference index>”, “<currency>.<reference index>.<tenor>” in which case the Currency Defaults are used to determine the missing parameters.

Default is USD.

Used in Performance Swap pricing

Must be set to true for Performance Swap in the scenario where val date = exercised date of the bond. This is equivalent to pricing the trade on the maturity date.

Note that BOND_FROM_QUOTE must also be set to true as we are picking the quote value as end price in this case.

Used in SABR Volatility generation, and PricerSwaptionSABR

At-the-money volatility.

Used in CMS Swap and CMS Cap/Floor pricing

Bond Default to use for AUD (the most liquid bond).

Only if you are using PricerSwap or PricerCapFloor. Not needed for PricerSwapHagan or PricerCapFloorHagan.

Used in Swap and Credit Default Swap pricing

True or false. True to include fees in the calculation of the break-even rate, or false otherwise.

Default is false.

Used in FX Option Window Barrier pricing

Deposit rate for the primary currency on the barrier end date. Local parameter only.

Used in FX Option Window Barrier pricing

Deposit rate for the quoting currency on the barrier end date. Local parameter only.

Used in FX Option Window Barrier pricing

Volatility for the barrier end date. Local parameter only.

Used in FX Option Window Barrier pricing

Deposit rate for the primary currency on the barrier start date. Local parameter only.

Used in FX Option Window Barrier pricing

Deposit rate for the quoting currency on the barrier start date. Local parameter only.

Used in FX Option Window Barrier pricing

Volatility for the barrier start date. Local parameter only.

Used in Credit Index Tranche pricing

The Correlation at the attachment point.

Used in Credit Index Tranche pricing

The Correlation at the detachment point.

Used in Credit Nth Default Swap, Credit Contingent Swap, and Swap pricing

True or false. Default is true.

Credit Swap pricing

When true, the premium starts accruing on the trade start date (for fixed coupon SNAC trades, it is the start date of the first cashflow). If set to false, the premium starts accruing on the valuation date. This impacts the following pricer measures:

 Ⓘ   [NOTE: The computation of NPV from BE rate without accrual is not changed. So NPV will not be zero if this BE rate is put in; instead, one would get the present value of the expected accrual]

Swap pricing

The following pricer measures for PricerSwap (products Swap, SwapCrossCurrency, and SwapNonDeliverable) are impacted by the pricing parameter BE_INCL_ACC which includes the accruals into the break-even rate calculation when set to true (default).

Used in Cap/Floor pricing

True or false. If false, the first caplet will be ignored if the reset is due today or prior to today. It will be included otherwise.

Default is false.

Used in Swap and Credit Default Swap pricing

Sets the break-even rate the market would give for a swap that started today (NPV 0) to a constant value. Using this to price an aged swap will give a nonzero NPV. It is the market's new swap BE_RATE, not the BE rate of the trade being priced.

Gives the user the ability to define the lower boundary used to solve the Break Even Rate.

If lower boundary is set by the user to a certain value, then if fixed rate, lower boundary is lower boundary/100 else if not fixed rate, lower boundary is lower boundary/10000. Default is 0.

Used in Credit Default Swap pricing

Benchmark tenor.

Default is 5Y.

No longer used - Use BETA_REFERENCE_NAME instead.

Used in SABR Volatility generation, and SwaptionSABR pricer

Enter the beta set name defined in the beta values window.

Used in Bond MM Discount pricing

True or false. True to apply Bank of Japan calculation conventions, or false otherwise.

Default is false.

Used in Fixed Income pricing

True or false. True to price bonds from quotes, or false to price bonds from curves.

Default is true.

See also pricing parameter IGNORE_FORWARD_PRICE for details on repo curves.

For PricerTreasuryLock, the FE Lock Model uses BOND_FROM_QUOTE as a flag to calculate the future underlying bond’s forward YTM with the respective spot quote or theoretical price. For Treasury Lock, bond quotes are treated like fixings. Once the fixing date has passed, it is not possible to price using a theoretical price. Therefore, when:

BOND_FROM_QUOTE = true: the REPO_RATE parameter is active, too - it controls the discount rate to calculate the bond forwards from the spot quote.

BOND_FROM_QUOTE = false: REPO_RATE has no effect.

BOND_FROM_QUOTE = true: the model fails if no quote on the valuation date is available.

BOND_FROM_QUOTE = false: the model defaults to theoretical valuation.

BOND_FROM_QUOTE is inconsequential. The system should always use the saved Bond Quotes and throw an error if a quote is not found.

 Ⓘ   [NOTE: When pricing TRS trades, setting to false will include the coupon for NPV calculation during the settlement gap]

 Ⓘ   [NOTE: BondMMDiscount, BondMMInterest and BondMMDiscountAUD pricing use the pricing parameter MMKT_FROM_QUOTE]

Used in Bond Option and Bond Future pricing

Constant forward bond price.

Used in Equity Derivatives pricing

Local parameter to enter a borrow spread to use in pricing. It overrides the borrow spread from the borrow curve.

Used in Swaption pricing - PricerSwaptionBpVol

Basis points volatility transformation method for the BP_VOL pricer measure: Only EXACT is supported.

Used in Swaption pricing - PricerSwaptionBpVol

Constant volatility in basis points for pricing options.

Used in Bond pricing - PricerBondLGMM2F

True or false. Controls if the path generator uses a Brownian bridge construction. Implicitly the generator will use a sobol sequence random number generator when Brownian bridge is set to TRUE. In the case of FALSE, the pseudo-random number generator is used and the path generation is classic Euler incremental generation.

Used in BSB Repo pricing

True or false.

If false: BSB Repo NPV = Start cash * DF on start date + ( Principal + Interest i.e. End cash on end date ) * DF on end date + ( Coupon + Indemnity) * DF on end date - "(Coupon) * DF on actual coupon payment date"

If true: BSB Repo NPV = Start cash * DF on start date + (Principal + Interest i.e. End cash on end date ) * DF on end date + (coupon + Indemnity) * DF on end date

The discounted coupon payment as of the coupon payment date is not subtracted.

Default is false.

Used in CDSNthLoss pricing

For pricers that use the one-factor copula model (OFM). Specifies the type of buckets into which the tranche losses are collected during calculation. Precision is limited by the size of the bucket: larger buckets are less accurate but are faster to calculate. The two choices of BUCKET_TYPE are as follows:

Usually, "A" will be the more accurate method, and "HW" the faster one.

Used in Bond and Simple MM pricing

True or false. True to use the alternate BOOK_VALUE calculation or false to use the standard BOOK_VALUE calculation.

See Pricer Measures for details on the alternate and standard BOOK_VALUE calculations.

Used in Bond Corporate Actions generation

Number of decimals for the generated amount.

Used in PricerSwapHagan and PricerCapFloorHagan

You can select the volatility model used when calibrating the model:

BP_VOL

BLACK_VOL

SHIFTED_BLACK_VOL

Used in Swaption pricing - PricerSwaptionBpVol

Constant volatility in basis points for pricing CALL options. This value overrides the value of the BPVOL pricing parameter.

Used in Cap/Floor, Swaption, Commodity, and Equity Options pricing

Constant volatility for pricing CALL options. This value overrides the value of the VOLATILITY pricing parameter.

Used in Spread Cap/Floor pricing

Constant volatility for pricing the second index of a CALL option. This value overrides the value of the VOLATILITY2 pricing parameter.

Used in Bond pricing

True or false. When set to true, market data check does not check WAL quotes for callable bonds.

Default is false.

Used in Cap Volatility Surface generation

This is a global switch for the CapATM generator, it allows the stripping algorithm to fail while solving for forward volatilities.

Typically the market data can cause the algorithm to fail should the set of quotes include big jumps between one maturity to another. A failing algorithm means that the stripping couldn’t find any solution while solving for forward volatilities given the set of flat volatilities that seem to be inconsistent.

If the pricing parameter CAPATM_ALLOW_FAIL is set to true, the algorithm will stop and the stripping will not be completed.

If global pricing parameter CAPATM_ALLOW_FAIL set to false, if the stripping algorithm fails to find a solution, the stripping algorithm will continue and use the previous forward volatility as a solution.

 Refer to the Calypso Analytics Library documentation for complete details.

Used in FX pricing

True or false.

When true, the CASH measure includes the settlement amount on the day of settlement. On any other day, it shows 0.

Default is false. The CASH measure does not include the settlement amount, only fees if any.

Used in Swaption pricing

Volatility parameter of the CEV model. Use pricer measure BLACK_EQUIV_VOL to get a sense of the model parameter for a given value of beta.

Recommended value is between 0.01 and 30%, depending on beta.

Used in Swaption pricing

Beta parameter of the CEV model.

Recommended value is 0.5.

Used in Swaption pricing

Choices are EXACT, HAGAN_WOODWARD_HIGHORDER, HAGAN_WOODWARD_LOWORDER, ANDERSON_RATCLIFFE_DD.

Several approximations are available as well the exact valuation. Generally, these approximations are very accurate so little difference is noticed between each method.

Default is HAGAN_WOODWARD_HIGHORDER.

Used in PricerBondCGS

When pricing Australian Bonds using PricerBondCGS on the last coupon date, the rounding of clean/dirty can be controlled by configuring the pricing parameter CGS_LAST_CPN_ROUNDING. It is the number of decimal places.

Default is 10.

Used in Bond pricing

Set to false to ignore missing quotes for pricer measures like PREM_DISC.

Default is true.

Used in Fixed Income pricing

True or false. True to also check funding rates when performing “Check Market Data”, or false to ignore funding rates.

Default is false.

Used in PricerCreditDefaultSwap and PricerCDSNthDefault

True or false. If false, the pricer will not check for ratings-based curves.

Default is true.

Used in Call Notice pricing

True or false. In case you run out-of-memory for Call Notice products when running CAPL, you can set the pricing parameter CLEAR_CASHFLOW to true. It will clear the cashflow after having checked the market data and calculated the columns.

Default is false.

Not used.

Used in CMS Swap and CMS Cap/Floor pricing

PricerSwap and PricerCapFloor.

Constant correlation.

The alternative is to use PricerSwapHagan, and PricerCapFloorHagan.

Used in CMS Swap and CMS Cap/Floor pricing

PricerSwap and PricerCapFloor.

Constant payment index volatility.

The alternative is to use PricerSwapHagan, and PricerCapFloorHagan.

Used in CMS Swap and CMS Cap/Floor pricing

PricerSwap and PricerCapFloor.

Constant rate index volatility.

The alternative is to use PricerSwapHagan, and PricerCapFloorHagan.

Not used.

Used in IRD and EQD pricing

You can select a collateral policy to override the default collateral policy at trade level, and load the trade's discount curve based on the selected override collateral policy.

This only applies if COLLATERALIZED_PRICING is On, and you have defined a discount curve for the trade currency and the selected override collateral policy.

Please refer to Calypso Collateral Pricing documentation for details.

Used in IRD and EQD pricing

On or Off.

On to activate collateral pricing.

Collateral pricing allows associating a discount curve to a trade based on the collateral policy of the collateral agreement between the trade's processing organization and the trade's counterparty.

This requires the setup of a collateral agreement, and a discount curve for the trade currency and the collateral policy.

Please refer to Calypso Collateral Pricing (Trade CSA) documentation for details.

When Off, the discount curve is loaded based on the trade currency.

Used in Commodity Options pricing

The number of days until expiry to use in valuing a commodity option when in the last 24 hour period before the option expires. This parameter is defaulted to 0.5 and must be less than or equal to 1 and greater than zero.

Used in Commodities pricing

Whether to use a Missing Historical Price Policy to find Commodity and FX resets when pricing Commodity trades. Default is false.

Set to true to use the historical pricing policy.

The historical pricing policy may be defined in the User Default attributes. The pricing uses the last available quote when commodity and/or FX quotes are missing on the fixing date. Choose Configuration > User Access Control > User Defaults and click Attributes. Add MISSING_HIST_PRICE_POLICY_CLASS_NAME = LastAvailableQuotePolicy (or set to the name of the policy class that you want to use).

Model parameter used in Brazilian Bond pricing

True or false. True to enable the projection of notional factors for T+n trades, or false otherwise.

Default is false.

Used in Spread Cap/Floor and Trigger Swaption pricing

Correlation factor for pricing the second index.

Used in Quanto Option and Credit Derivatives pricing

Correlation factor.

For CDS Index Tranche trades: the implied correlation to price the tranche.

Used in Bond pricing

True or false. When set to true, paydowns are taken into account for NPV_DISC calculations using the following formula:

NPV_DISC = Unrealized P&L = (Nominal * Current Factor * Current Clean Price) - (Nominal * Original Factor * Trade Clean Price) + Paydown - Accretion

Default is false.

Used in Future Option and Equity Options pricing

Number of nodes (iterations) in a Cox-Ross-Rubinstein matrix for options.

Used in ACCRUAL_FIRST_INC calculation

True or false. Default is false.

Set to true in order to add the full coupon until the payment date only. It is added until the valuation date otherwise.

Used every time a curve is used

Determines which quote side of the underlying instruments of a curve to use: CLOSE, BID, ASK, MID, or OPEN. The recommended value is MID.

 Ⓘ   [NOTE: CURVE_USAGE only applies to curves with LAST instance type]

For FX, FX options, and CRD trades, if USE_BUY_SELL_CURVE_SIDE is set to true, the system uses ASK quotes for sell trades, and BID quotes for buy trades regardless of CURVE_USAGE.

If USE_BUY_SELL_CURVE_SIDE = false, the system uses CURVE_USAGE.

See USE_BUY_SELL_CURVE_SIDE for more information.

Used in PricerSwaptionLGMM1F

The number of days within which a whole year is preserved.

Recommended value is 7.

Used in PricerSpreadCapFloorHaganGBM2FHagan

Select the replication method: THEORETICAL, SUB, SUPER, or CENTRAL.

In PricerSpreadCapFloorGBM2FHagan, the spread option is a function of the correlation parameter.

So THEORETICAL, means look up the correlation parameter using the strike of the trade.

The other replication methods use the usual replication approach in particular using different correlations for the lower and upper strike for the replication, which accounts for the correlation skew.

A volatility surface is configured in pricer config under the Custom tab: one surface corresponds to each spread pair. For example, 10YEURCMS - 2YEURCMS would have a volatility surface configured with the GBM2F correlation parameter arranged by expiry and strike, on a point adjustment layer.

Used in PricerCapFloorHagan

You can select the following values:

Where eps is STRIKE_SPREAD_EPSILON.

Used in Money Market pricing with Capitalized Interest

True or false. Default is false.

If true, accrual does not drop after each compounded period, allowing the accrual to be considered Unrealized in Official P&L.

If false, accrual drops after each compounded period, moving into principal per capitalization rules.

This pricing parameter only affects accrual computations, and the principal is updated with the capitalized interest regardless of its value. This pricing parameter is forced to true in Official P&L for Money Market products.

Not used.

Used with FX Forward and FX Swap products

Control whether NPV computation of FX Forward or FX Swap is discounted by the primary or secondary currency.

If DISCOUNT_PRIMARY_CCY = false (default value), it will be discounted by the secondary currency.

If DISCOUNT_PRIMARY_CCY = true, it will be discounted by the primary currency.

Used in Equity Derivatives pricing

Defaults to "Escrowed" (can also be "Continuous"). In Escrowed model the dividends are treated as discrete (for it to make sense, the dividend curve need to be of type discrete, otherwise the discrete part will be 0).

Used in Bond Convertible, Equity Options and Commodity Options pricing

Constant dividend rate.

Used in Swap pricing

You can set the following values:

• Default: Retains the current system behavior where optimization is turned on for Flat (with zero spreads only) and SimpleSpread (including non-zero spreads) compounding swaps, with a few other exceptions when optimization does not yield a mathematically equivalent calculation.

• ForceOn: Turns ON the optimization for all daily compounding swaps – This provides the fastest pricing

• Off: Turns OFF the optimization for all daily compounding swaps – This provides the most accurate pricing. Good for Back Office-centric clients.

The pricing parameter can be set at the PE level and is also available as a transient pricing parameter in the Swap Trade window. The default value is “Default”. The PE pricing parameter value will impact daily compounding Swap pricing everywhere in the system where PricerSwap is used.

When Optimized Pricing is used, the pricer uses only two forward rates (first and last) per period, instead of projecting and using all daily forwards. This calculation is mathematically equivalent to calculating a daily compounded rate from each daily forward rate for market standard cleared daily compounding swaps using zero reset lag and 2D pmt lag.

The menu option Swap > Allow Daily Compounding Optimization on the Swap Trade window allows users to turn ON the optimization on the trade window. Previously, the optimization was always OFF on the trade window (no need for performance optimization when pricing one trade). This menu option allows users to validate the NPV they are seeing in other areas of the system when optimization is used.

Used in Bond pricing

String that can be set to “Worst”, "Best", “Next”, “Maturity”, or to a properly formatted date to determine the effective call date for callable bond calculations.

In the Bond static data, there is a field on the call schedule tab called “Effective Call” which can be set to “Worst”, "Best", “Next”, “Maturity” or “Custom”. When it is set to custom, you can also specify a date. The default is “Worst”.

In PricerBond, all pricer measures are computed using the effective call. We compute the effective call by first looking at the pricing parameters to see what the effective call method should be. If it is not specified in the pricing parameters, but the pricing parameter is defined with a default value, the default value is used. Otherwise, we use the effective call method defined on the Bond static data.

Used in IRR and ACCRUAL_EIR pricing

When set to true, the Forward Rates are used to compute the future cashflows. Otherwise, the last Reset Rate is used.

Default value is true.

Used in IRR and ACCRUAL_EIR pricing

When set to false, ACCRUAL_EIR is computed without trade fees. Otherwise, all trade fees are included.

Default is true.

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

Used in IRR and ACCRUAL_EIR pricing

When set to true, IRR is computed at each reset date. Otherwise, it is computed on each period start date.

Default is false.

Used in CMS Swap and CMS Cap/Floor pricing

Bond Default to use for EUR (the most liquid bond).

Only if you are using PricerSwap or PricerCapFloor. Not needed for PricerSwapHagan or PricerCapFloorHagan.

Used in Interest Bearing trade generation

When set to true, the system does not generate Interest Bearing trades with zero interest. They are generated otherwise.

Default is false.

Used in Forward Ladder

True or false. True to display future cashflows for products based on pricing script payouts, or false otherwise.

Default is false.

Used in Zero Curve Generation

HIGH_UPPER_BOUND is used for upper bound, the first time we use the solver to solve for the discount factor corresponding to swaps with negative swap rates. Default value is 1.5. This is reasonable since negative rates are usually small and the discount factors are close to 1. If for any reason a solution is not found in the first try with HIGH_UPPER_BOUND, we do a second try with EXTREME_UPPER_BOUND.

Used in Bond pricing

True or false. True to apply a cap / floor 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 valuation date * inflation factor on valuation date

Default is false.

Used in Bond pricing

True or false. True to use prospective method to calculate premium discount. False to use retrospective method.

Default is true.

Used in Security Lending pricing

If true, improves fictional cash pricing.

Default is false.

Please refer to Calypso Security Lending Trading for details.

Used every time accrued interest is calculated

True or false. True to use an additional day in the calculation of accrued interest. Accrual calculations use the “first not last” accrual logic. Accounting rules must also be defined with the Accrual First rule checked in order for the accounting to book the accrual on the first day.

False means that Accrual calculations do NOT use the "first not last" logic.

Used in Bond pricing

Only applies if the bond is defined with 30E*/360 daycount.

True or false. If set to true AND if FIRST_ACCRUAL = true, in months with 31 days, ACCRUAL_BO and ACCRUAL_FIRST will continue to accrue on the 30th but not the 31st. Otherwise, ACCRUAL_FIRST will not accrue on the 30th, and will accrue on the 31st.

Default is false.

Used in Interest Rate Swaption, Commodity Swaption, and Credit Default Swaption pricing

Fixed rate of the underlying swap.

Used in Equity Linked Swap Accrual pricing

True or false. Determines when a cashflow is no longer included in the NPV of the swap.

For ELS Accrual pricer:

For Performance Swaps, setting to true will have the cashflows not include NPV as of the fixing date. Setting to false will have the cashflow not include NPV as of the payment date.

Default is false.

Used in USD/BRL Cross Ccy Swap pricing (with Principal Adjustment or with Notional Adj) and SwapNonDeliverable (with Notional Adj, or, with or without Intermediate Ccy)

Determines whether the forecasting of FX discounts from Spot to Settle (default) or Val Date to Settle.

True or false. Default is true. This pricing parameter is only applicable when FORECAST_FX_RATE = true and FORECAST_USE_SPOT = true and FORECAST_SETTLE_DT = true. Allows calculating forward rate for BM&F USD/BRL Spot as if Spot T0 although it is a Spot T+2.

Used in Bond pricing

True or false. True to forecast future cashflows from a curve, or false to forecast future cashflows using the last known reset.

For Performance Swaps, setting to false for a bond where BOND_FROM_QUOTE was set to false would forecast the cashflows based on the last known reset rate. Setting to false and setting BOND_FROM_QUOTE to true will forecast the coupon cashflows from the curve.

Default is true.

Used in Cross Ccy Swap, eXSP, Futures pricing, and SwapNonDeliverable

Used for Cross Ccy Swaps with principal adjustments at reset.

True or false. True to forecast principal adjustments. An FX rate is projected at each payment reset using the zero curves of each currency, and the current FX quote. The current FX quote must bet set on the "Bid" side if the pricing parameter USE_FX_MID is not set to true.

Default is false. In this case, there is no forecast of principal adjustments.

SwapNonDeliverable

Cashflows are calculated in native currency until the reset is known, after which it is converted using the reset rate until payment date.

When true, pricing follows original SwapNonDeliverable pricing behavior and each flow uses a forecasted FX rate to calculate the PV.

When false, pricing follows now deprecated NDS pricing behavior and the final amount in native currency will be converted using the spot rate rather than using a projected FX rate for each flow.

Used in USD/BRL Cross Ccy Swap pricing (with Principal Adjustment or Notional Adj) and SwapNonDeliverable (with Notional Adj, or, with or without Intermediate Ccy)

Determines whether FX Reset Date + Spot Days or Settle Date is used for FX forecasting and is required for BRL trades where FX Reset Lag is defined differently from Spot Days.

Default value is false. This pricing parameter is only applicable when FORECAST_FX_RATE = true.

If true and FORECAST_USE_SPOT = false, the FX Reset quote from (T - FX Reset Lag) is used instead of T.

If false and FORECAST_USE_SPOT = true, FORECAST_ADJUST_FX is not applicable and is hardcoded to true.

This is NOT a local parameter (it cannot be overridden at trade level).

Used in Cross Ccy Swap (with Principal Adjustment, or, with Notional Adj feature), SwapNonDeliverable (with Notional Adj feature, or, with or without Intermediate Ccy), eXSP and Futures pricing

Determines whether the forecasting of FX uses Spot quote or FX Reset quote.

Default value is false. This pricing parameter is only applicable when FORECAST_FX_RATE = true.

FORECAST_USE_SPOT is used in conjunction with FORECAST_FX_RATE in the following ways:

The FX Reset Quote used is the quote from Val Date - FX Reset Lag.

Default Behavior should be FORECAST_FX_RATE set to true and FORECAST_USE_SPOT to true.

Used in Quanto Options pricing

Foreign interest rate. Local parameter only.

Used in Future pricing

True or false. True to price futures from quotes, or false to price futures from curves.

When used for LME discounting, set to True. Prices from the exchange are discounted using the Discount Factors from the curve.

For NOMX future bonds with underlying Type set to Relative For Pricing, future quotes will be used instead of theoretical prices to compute the measures PV01, DV01, MODIFIED_DURATION, and DURATION when FUTURE_FROM_QUOTE is set to true.

Used in FX trade entry

Sum of FX SPOT RATE and FWD PTS.

Used to obtain FX quotes

True or false. Set to true to use the latest available FX quote when an FX quote is missing. An error for missing FX quote will be logged otherwise.

Default is false.

 Ⓘ   [NOTE: It is not recommended to set FX_LATEST_QUOTE = true for pricing because the system may use stale quotes. If FX quotes are missing (for weekend computations for example when EODWeek = true), it is recommended to use the scheduled task PROP_RATE_1BUSDAY to propagate the latest available quotes to the missing quotes]

Used in FX Option Forward and FX Option Swap pricing

Frequency of revaluations for FX Option Forward and FX Option Swap trade to determine risk (position) date: DLY, WK, MTH, or NON.

Default is NON.

Used both on the FX trade entry screens, and for pricing of FX trades and FX Option trades

True or false. If true, FX forward points are retrieved from an FX curve to convert future FX cashflows to a common currency prior to discounting.

If false, future FX cashflows are discounted using a zero curve for each currency, and the result is converted to a single currency.

Default is true.

Exotic Legs

The pricing parameter FX_POINTS behaves as follows for exotic legs.

Cross Currency Swaps

The value of FX_POINTS is ignored for basis curve generation (FX adjustments use the discount curves for each currency and the FX spot rate). As a result, Cross Currency Swaps (product type SwapCrossCurrency) can round-trip price only with FX_POINTS=False.

Used in FX pricing

FX spot rate. Trade level parameter only.

The rate is applied to the reference currency pair (“Pair Pos Ref” flag set to true).

Used in FX Options pricing

 Refer to Calypso FX Options Analytics for details.

Used in Quanto Options pricing

Constant FX volatility. Trade level parameter only.

Used in FX Options pricing

To specify whether to calculate vega one side or two side.

True for two side, and false for one side.

Used in FX Options pricing

To specify the shift amount for Vega in basis points.

Default is 1bp.

Used in CMS Swap and CMS Cap/Floor pricing

Bond Default to use for GBP (the most liquid bond).

Only if you are using PricerSwap or PricerCapFloor. Not needed for PricerSwapHagan or PricerCapFloorHagan.

Used in CMS Swap and CMS Cap/Floor pricing

PricerSwapHagan, PricerSwapLegHagan and PricerCapFloorHagan.

True or false. True to compute the forward swap rate using the Black formula, and store it in the cashflows in ADJ_FWD_RATE.

Default is true.

Used in CMS Swap and CMS Cap/Floor pricing

PricerSwapHagan, PricerSwapLegHagan, PricerCapFloorHagan, and PricerSpreadCapFloorGBM2FHagan.

True or false. Controls whether a cash index such 6M-LIBOR applies convexity correction by replication (true) or analytic approximation (false).

Default is false.

Used in CMS Swap and CMS Cap/Floor pricing

PricerSwapHagan, PricerSwapLegHagan, PricerCapFloorHagan, and PricerSpreadCapFloorGBM2FHagan.

A correction on a cash index is only made if the forecast end date is significantly different from the payment date. The parameter represents the number of calendar days after which a correction should be made.

Default is 7.

Used in CMS Swap and CMS Cap/Floor pricing

PricerSwapHagan, PricerSwapLegHagan, PricerCapFloorHagan, and PricerSpreadCapFloorGBM2FHagan.

The choices are:

Only applies if HAGAN_CASH_BY_REPLICATION = true.

Default is LINEAR.

Used in CMS Swap and CMS Cap/Floor pricing

PricerSwapHagan, PricerSwapLegHagan, PricerCapFloorHagan, and PricerSpreadCapFloorGBM2FHagan.

True or false. Controls whether convexity correction should be computed (true) or not (false).

Default is true.

Used in CMS Swap and CMS Cap/Floor pricing

PricerSwapHagan, PricerSwapLegHagan, PricerCapFloorHagan, and PricerSpreadCapFloorGBM2FHagan.

True or false. True to optimize the risk exposure calculation.

Default is true.

Used in CMS Swap and CMS Cap/Floor pricing

PricerSwapHagan, PricerSwapLegHagan, PricerCapFloorHagan, and PricerSpreadCapFloorGBM2FHagan.

True or false. Controls whether a swap index such 20Y-CMS-LIBOR applies convexity correction by replication (true) or analytic approximation (false).

Default is true.

Used in CMS Swap and CMS Cap/Floor pricing

PricerSwapHagan, PricerSwapLegHagan, PricerCapFloorHagan, and PricerSpreadCapFloorGBM2FHagan.

True or false. A volatility surface may store the CMS adjustments, if desired. In this case a volatility surface generated by the CMSBasisAdj is required to create a layer of points on the points panel titles CMS_BASIS_ADJ. The pricer will look for this layer on the volatility surface if the pricing parameter HAGAN_SWAP_USE_BASIS_ADJ is set to true.

Default is false.

Used in CMS Swap and CMS Cap/Floor pricing

PricerSwapHagan, PricerSwapLegHagan, PricerCapFloorHagan, and PricerSpreadCapFloorGBM2FHagan.

Same values as HAGAN_CASH_YIELD_CURVE_MODEL.

Only applies if HAGAN_SWAP_BY_REPLICATION = True.

Default is EXACT_BOND.

Used in CMS Swap and CMS Cap/Floor pricing

PricerSwapHagan, PricerSwapLegHagan, PricerCapFloorHagan, and PricerSpreadCapFloorGBM2FHagan.

Only applicable to the case of valuation by replication for either cash or swap index.

True or false. True to use the function defined in Eq. 2.15 of Hagan’s article to describe the convexity correction payoff. False to use the quadratic approximation function defined in Eq. 3.1b of Hagan’s article.

Default is true.

Used in Bond pricing

True or false. True to enable the Hybrid Accrual Method Required for Bonds with Fixed Coupon (FAS91), or false otherwise.

For the hybrid approach, the NPV is calculated for each coupon payment date, based on the trade's yield and future cashflows. However, the daily accrual is based on a straight line accrual between the two coupon payment dates.

Default is false.

 Ⓘ   [NOTE: This does not apply to inflation indexed bonds]

Hybrid Amortization also functions with Fixed Rate BondAssetBacked Product, with limitations. This is applicable to MBS and ABS securities that have mostly contractual principal payments. It is not intended for MBS or ABS that have significant prepayment sensitivity or floating rates.

Used in Swap pricing

In Arrears Compound Intermediate Rates Adjusted.

True or false. True to force each compound index to be adjusted via an "InArrears" adjustment, the total compounded interest amount just paid at the payment date.

Used in “In Arrear” Swap and Cap/Floor pricing

PricerSwap and PricerCapFloor.

Constant correlation. Local parameter only.

The alternative is to use PricerSwapHagan, and PricerCapFloorHagan.

Used in “In Arrear” Swap and Cap/Floor pricing

PricerSwap and PricerCapFloor.

True or false. True to disable In Arrear adjustments, or false otherwise.

Default is false.

The alternative is to use PricerSwapHagan, and PricerCapFloorHagan.

Used in “In Arrear” Swap and Cap/Floor pricing

PricerSwap and PricerCapFloor.

Constant payment index volatility. Local parameter only.

The alternative is to use PricerSwapHagan, and PricerCapFloorHagan.

Used in “In Arrear” Swap and Cap/Floor pricing

PricerSwap and PricerCapFloor.

Constant rate index volatility. Local parameter only.

The alternative is to use PricerSwapHagan, and PricerCapFloorHagan.

Used in “In Arrear” Swap pricing

Local parameter. It must be set when entering local volatilities to Black or BpVol to determine the type of volatility.

Used in Bond pricing

Applies when pricing parameter BOND_FROM_QUOTE = true, and ALTERNATE_PL = false.

True or false. When true, we consider that the "Bond Quote" is valid for any settlement date, and we do not compute a Forward Bond Price using a Repo curve. When false, we compute a Forward Bond Price using a Repo curve for trades that settle after the valuation date.

When pricing Bond Option trades, forward price is automatically calculated for the bond, regardless of setting.

Default is false.

Used in Forward Starting FX Options

True or false. If true, the pricer will not look for a strike, it will compute it.

Default is false.

Used in Official P&L for products based on price fixing

Only has an effect when valuation date = any fixing date on the trade.

True or false. True to project the price for that date from the curves. False to retrieve the price from the quote set. If no quote is found, then the price is projected from the curves as well.

Used in Equity Derivatives pricing

True or false. True to ignore the quanto effect in pricing.

Default is false.

Used in Simple MM pricing

The default value is false, but when set to true, the pricer excludes settled accrual from ACCUMULATED_ACCRUAL. The parameter should be set to true for P&L to work correctly for Capitalized Loans / Deposits.

Used in Bond pricing - PricerBondLGMM2F

True or false. True to ignore the TARN feature.

Default is false.

Used in Bond pricing

True or false. When set to true and bond is price quoted, yield solver errors are suppressed and pricer measures which are independent of yield measure are calculated.

Default is false.

Used in Bond pricing

True or false. True to recover the coupon on risky bonds in the event of a default, or false otherwise. Local parameter only.

Used in Bond pricing

True or false. True to recover the principal on risky bond in the event of a default, or false otherwise. Local parameter only.

Used in the pricing of all instruments

True or false. True to include fees in pricing, or false otherwise. Note that for INCLUDE_FEES to work when Fee date is on Value date, it needs NPV_INCLUDE_CASH to be set to true as well.

Default is false.

This applies to the calculation of NPV and CASH (but not FEES_NPV).

Used in Repo pricing

True or false. If set to false, the NPV of the repo will not include the NPV of the collateral.

See also the impact of NPV_INCLUDE_HAIRCUT.

Used in CDS Index Options pricing

True or false. If true, the underlying CDS index is priced from quotes. Otherwise, it is computed from the credit curves.

Default is true.

Used in CDS Index pricing

Constant implied spread.

Used every time market data is used

Determines the type of market data instance to be used in pricing:

Default is LAST.

 Ⓘ   [NOTE: When pricing a trade in a Trade window in real-time mode, the latest curve is used regardless of INSTANCE_TYPE]

Used for stub interpolation

True or false.

When false, the curves used for interpolation do not depend on the interpolation tenor, but on the rate index tenor.

Default is false.

Used in PricerCreditDefaultSwap

The choices are:

Used in Equity Options and Commodity Options pricing

Funding rate.

Used in Uneven FX Swaps Pricing and Accounting

This applies to the following pricer measures and accounting events: ACCRUAL and PREM_DISC_*.

Default is false. The posting currency is the primary currency.

If true, the posting currency is the quoting currency.

Used for Asian Options pricing

True or false. True to indicate that the constant volatility is the volatility of the average, or false to indicate that the constant volatility is the volatility of the FX rate.

Used in CMS Swap and CMS Cap/Floor pricing

Bond Default to use for JPY (the most liquid bond).

Only if you are using PricerSwap or PricerCapFloor. Not needed for PricerSwapHagan or PricerCapFloorHagan.

Used in Transfer generation

True or false. If false, all cashflows having "Manual Amt"=True and Amount=0 will generate known flows. If true, all cashflows having "Manual Amt"=true and Amount=0 will generate unknown flows.

Default is false.

No longer used as it was used for the FXOptionDelta generator, which is deprecated.

Used in Swaption pricing

This pricing parameter allows ignoring certain exceptions.

It can currently be set to ALLOW_NOTIONAL_CHANGE_INSIDE_PERIOD=true only.

When set to ALLOW_NOTIONAL_CHANGE_INSIDE_PERIOD=true, the pricer ignores the notional schedule being different from the cashflow schedule. Default value is false if not set.

Used in Swaption pricing, Cancelable Swap pricing, Callable Bond

PricerSwaptionLGMM1F, PricerSwapLGMM1F, PricerLGMM1FBackward, and PricerLGMM1FForward.

Refer to the Calypso Analytics Library documentation for details.

Used in Bond pricing - PricerBondLGMM2F

Allows overriding the first mean reversion at trade level. Local parameter.

Recommended value is between -1% and 5%.

Used in Bond pricing - PricerBondLGMM2F

Allows overriding the second mean reversion at trade level. Local parameter.

Recommended value is between 20% and 120%.

Used in Bond pricing - PricerBondLGMM2F

Allows overriding the correlation at trade level. Local parameter.

Recommended value is between -100% and 100%.

Used in Bond pricing - PricerBondLGMM2F

Allows overriding the first volatility at trade level. Local parameter.

Recommended value is between 0.5% and 2%.

Used in Bond pricing - PricerBondLGMM2F

Allows overriding the second volatility at trade level. Local parameter.

Recommended value is between 0.5% and 2%.

Used in Loan pricing

True or false. True to price loans from quotes, or false to price loan from curves.

Used in PricerFXOLocalVolatilityMonteCarlo

 Refer to Calypso FX Options Analytics for details.

Used in CDSNthLoss pricing

Applies when ALLOW_BESPOKE_MAPPING = true.

Method for bespoke mapping – EXPECTED_LOSS_RATIO, EXPECTED_LOSS, or MONEYNESS.

Default is MONEYNESS.

Used in FX Swap pricing

True or false. When set to true, FXSwapPricer returns NPV_FAR as MARGIN_CALL value.

Default is false.

Used in Repo and Security Lending pricing

True or false. If set to false, MARGIN_CALL calculation is processed on a theoretical basis, ignoring trade settlement status.

This pricing parameter is also able to be set on legal agreements on the Pricing panel. The pricing parameters that are actively defined (not left blank) on the legal agreement will take priority. For parameters undefined in the legal agreement, the values from the pricing environment set, if any, will be used.

Refer to Calypso Legal Agreement documentation for details on defining legal agreements.

Used in Future Structured Flows pricing

True or false.

When set to true, MARGIN_CALL, CUMULATIVE_MARGIN, and NPV_DISC are expressed in the settle currency specified on the future contract by the MARGIN_SETTLE_CCY attribute. In this case, the UNIT_AS_POINTS parameter is ignored for these measures.

When set to false, MARGIN_CALL, CUMULATIVE_MARGIN, and NPV_DISC are expressed in the future contract currency. In this case, the UNIT_AS_POINTS parameter is respected for these measures.

Used in Swaption pricing

Only applies to American fixed tenor swaptions.

Maximum number of days between time slices in the lattice to be used when pricing American Fixed tenor swaptions.

User enters an integer related to the number of days to approximate exercise schedule used in pricing e.g. 30 days.

Used in Bond pricing

It contains the limit for instrument spread in basis points. Default is 10000.

When you reach the limit, the price becomes 0.

It cannot be set to more than 10000, only below.

Used in Bond pricing

Unless set, the default max yield tried will be 100. when set, it allows computing a yield greater than 100 when solving.

Used in PricerBlackNFMonteCarloExotic and PricerBlack1FMonteCarlo

FAST or EXACT.

Set to FAST to activate fast volatility lookup. The prices will change slightly: with this setting, we look up the volatility at the forward, and not at the spot for each expiry. The interpolation between slices is forced to be linear in variance.

Set to EXACT to use the standard volatility lookup.

Used in Repo and Security Lending pricing

True or false. Default is false.

When set to true, each piece of collateral which is not eligible to the legal agreement returns a zero value in the SEC_FIN_SECURITY_VALUE calculation.

The eligibility of each piece of collateral can be seen in the "Sec. Eligibility" field.

This pricing parameter is also able to be set on legal agreements on the Pricing panel. The pricing parameters that are actively defined (not left blank) on the legal agreement will take priority. For parameters undefined in the legal agreement, the values from the pricing environment set, if any, will be used.

Refer to Calypso Legal Agreement documentation for details on defining legal agreements.

Used in Repo and Security Lending pricing

True or false. Default is false.

This pricing parameter is also able to be set on legal agreements on the Pricing panel, or on margin call contracts ("EXCLUDE_REPO_INTEREST" and "EXCLUDE_SECLENDING_INTEREST" on the Additional Info panel). For a trade using both a legal agreement and a margin call contract, the pricing parameters that are actively defined (not left blank) on the legal agreement will take priority. For parameters left blank on the legal agreement, the values defined in the margin call contract, if any, will be used. For parameters undefined in both the legal agreement and margin call contract, the values from the pricing environment set, if any, will be used.

Refer to Calypso Legal Agreement documentation for details on defining legal agreements.

 Refer to Calypso Collateral documentation for details on defining margin call contracts.

Used in Repo and Security Lending pricing

True or false. Default is false.

If set to true, this parameter applies a First Accrual and overrides FIRST_ACCRUAL for Repo and SecLending trades in the context of MARGIN_CALL calculation. It should be added for Repo and SecLending products to obtain the desired results for the following measures:

Used in Repo and Security Lending pricing

True or false. Default is false.

This pricing parameter is also able to be set on legal agreements on the Pricing panel, or on margin call contracts ("Exclude Trade Haircut" on the Parties panel). For a trade using both a legal agreement and a margin call contract, the pricing parameters that are actively defined (not left blank) on the legal agreement will take priority. For parameters left blank on the legal agreement, the values defined in the margin call contract will be used. For parameters undefined in both the legal agreement and margin call contract, the values from the pricing environment set, if any, will be used.

Refer to Calypso Legal Agreement documentation for details on defining legal agreements.

 Refer to Calypso Collateral documentation for details on defining margin call contracts.

Used in Repo and Security Lending pricing

True or false. Default is false.

Allows calculating MARGIN_CALL from the Trade Date instead of the trade Start Date.

When set to true, for SEC_FIN_LIABILITY:

Note that setting to true has no effect on SEC_FIN_SECURITY_VALUE, SEC_FIN_SECURITY_CLEAN_VALUE, or SEC_FIN_SECURITY_ACCRUAL.

This pricing parameter is also able to be set on legal agreements on the Pricing panel. The pricing parameters that are actively defined (not left blank) on the legal agreement will take priority. For parameters undefined in the legal agreement, the values from the pricing environment set, if any, will be used.

Refer to Calypso Legal Agreement documentation for details on defining legal agreements.

Used in Repo and Security Lending pricing

True or false. Default is false.

If set to true, the MARGIN_CALL pricer measure includes any pending coupon due amount from the earlier record date to the payment date.

This pricing parameter is also able to be set on legal agreements on the Pricing panel, or on margin call contracts ("INCLUDE_EXDIV_COUPON" on the Additional Info panel). For a trade using both a legal agreement and a margin call contract, the pricing parameters that are actively defined (not left blank) on the legal agreement will take priority. For parameters left blank on the legal agreement, the values defined in the margin call contract will be used. For parameters undefined in both the legal agreement and margin call contract, the values from the pricing environment set, if any, will be used.

Refer to Calypso Legal Agreement documentation for details on defining legal agreements.

 Refer to Calypso Collateral documentation for details on defining margin call contracts.

Used in Repo and Security Lending pricing

True or false. Default is false.

This pricing parameter is also able to be set on legal agreements on the Pricing panel, or on margin call contracts ("Include End Date Exposure" on the Details panel). For a trade using both a legal agreement and a margin call contract, the pricing parameters that are actively defined (not left blank) on the legal agreement will take priority. For parameters left blank on the legal agreement, the values defined in the margin call contract will be used. For parameters undefined in both the legal agreement and margin call contract, the values from the pricing environment set, if any, will be used.

Refer to Calypso Legal Agreement documentation for details on defining legal agreements.

 Refer to Calypso Collateral documentation for details on defining margin call contracts.

Used in Repo and Security Lending pricing

0 or 1. Determines which day’s quote to use in the calculation of the following pricer measures:

When set to 0, uses the val date quote to calculate the above measures.

When set to 1, uses the (val date - 1) quote to calculate the above measures.

When not set, today’s quotes are used by default.

Also see MC_USE_VALDATE_QUOTES below.

This pricing parameter is also able to be set on legal agreements on the Pricing panel, or on margin call contracts ("Quote Offset Days" in the Dates & Times panel). For a trade using both a legal agreement and a margin call contract, the pricing parameters that are actively defined (not left blank) on the legal agreement will take priority. For parameters left blank on the legal agreement, the values defined in the margin call contract will be used. For parameters undefined in both the legal agreement and margin call contract, the values from the pricing environment set, if any, will be used.

Refer to Calypso Legal Agreement documentation for details on defining legal agreements.

 Refer to Calypso Collateral documentation for details on defining margin call contracts.

Used in Repo and Security Lending pricing

True or false. This pricing parameter has no default value.

When set to either true or false, to calculate MARGIN_CALL, the pricer will pick the applicable haircut value from the trade legal agreement at valuation date and use this haircut value instead of the trade persisted haircut value.

When MC_USE_LA_HAIRCUT is set to true, this calculation is performed as if EXCLUDE_TRADE_HAIRCUT=true.

When MC_USE_LA_HAIRCUT is set to false, this calculation is performed as if EXCLUDE_TRADE_HAIRCUT=false.

This pricing parameter is also able to be set on legal agreements on the Pricing panel. The pricing parameters that are actively defined (not left blank) on the legal agreement will take priority. For parameters undefined in the legal agreement, the values from the pricing environment set, if any, will be used.

Refer to Calypso Legal Agreement documentation for details on defining legal agreements.

Used in Repo and Security Lending pricing

The only possible value is true. When set to true, today’s quotes (val date) are used to calculate SEC_FIN_SECURITY_VALUE.

If not set, then the following logic is applied:

1. Margin Call Contract – If there is a margin call contract defined on the trade and if "Quote Offset Days" is set to 0 in this contract, use today's quotes for both Clean Price and FX Rate (and yesterday's quotes, if set to 1).

   Note that if you do not use the Collateral Manager, instead of using "Quote Offset Days", you need to add the attribute "#QUOTE_OFFSET” on the Additional Info panel of the margin call contract.

    Refer to Calypso Collateral documentation for details on defining margin call contracts.

2. Legal Agreement – If there is no margin call contract on the trade, but there is a legal agreement with the MC_SEC_QUOTE_OFFSET Additional Info attribute defined, then the legal agreement drives the quote (today’s if 0 or yesterday’s if 1) for both Clean Price and FX Rate.
3. Pricing Parameter – If there is neither a margin call contract nor legal agreement defined on the trade, but the MC_SEC_QUOTE_OFFSET pricing parameter is set, then the pricing parameter drives the quote (today’s if 0 or yesterday’s if 1) for both Clean Price and FX Rate.
4. Default – If there is no margin call contract, no legal agreement, and no MC_SEC_QUOTE_OFFSET pricing parameter, then today's quotes will be selected by default.

Also see MC_SEC_QUOTE_OFFSET above.

Used in MonteCarlo simulations

MCPATH_GEN_PARAMS is a string that can be used to control the lower details on the monte-carlo valuation. It is designed for use within another program (typically a model validation program) and is not exposed to the end user in the application.

The structure of the String in the case of PricerBlackNFMonteCarloExotic is a list of key value pairs.

Keys are IS_BROWNIAN_BRIDGE, IS_ANTITHETIC, NUM_SIMULATIONS

Example: String s = "IS_BROWNIAN_BRIDGE=True, IS_ANTITHETIC=False, NUM_SIMULATIONS=1000000"

The structure of the String in the case of PricerLocalVolatilityNFMonteCarloExotic is a list of key value pairs.

Keys are IS_FAST_SQRT, STEP_SIZE, IS_PSEUDO_RNG, NUM_SIMULATIONS

Example: String s = "IS_FAST_SQRT=True, STEP_SIZE=0.01, IS_PSEUDO_RNG=False, NUM_SIMULATIONS=10000"

Used in Bond pricing

Min starting range for market spread solver to compute INSTRUMENT_SPREAD. Default is -10000.

It cannot be set to less than -10000, only above.

Used in Bond pricing

True or false. Ability to specify a lower limit in pricing the yield of a bond. Default minimum value of -.99 is set, but can be set when parameter is set to true.

Used in Basket Correlation Surface generation

When MIX_BEFORE_MAPPING = false (default value), the system maps the bespoke basket to each underlying index surface first, then combines the results by applying the defined correlation formula in tranche detachment points space.

When MIX_BEFORE_MAPPING = true, the system constructs a blended index surface at the ELR level based on a correlation formula and underlying index surfaces. Through iteration process, the system maps the bespoke basket to this blended index surface using the ELR method.

This does not apply to Expected Loss or Moneyness, only Expected Loss Ratio.

Used in FX Options pricing

PricerFXOptionBarrierMixture for option subtype BARRIER, and PricerFXOptionDigitalMixture for option subtype DIGITAL.

True or false. To calculate numerical Greeks, the model will not re-calibrate unless the pricing parameter MIXTURE_CALIBRATE_FOR_GREEKS is set to true.

Default is false.

Used in PricerFXOMarket

Used in Money Market pricing (including BondMMDiscount and BondMMInterest)

True or false. True to price money market instruments from quotes, or false to price money market instruments from curves.

Used in PricerCDSNthLossOFM

Allows selecting speed versus accuracy. The possible values currently are 1, 2, or 3. 1=Low Speed, 2=Medium Speed, 3 = High Speed. Default is 1.

This is used in both NPV and Jump to Default, with more approximations in the Jump to Default to speed up repeated pricing.

It can be used in combination with OBS_FREQ and RECOVERY_RATE to optimize the calculation.

 Refer to Calypso Credit Rate Derivatives Analytics for more details on the MODEL_SPEED pricing parameter.

Used in Corporate Bond and Notional Equivalent Bond pricing

Constant modified duration.

Used in PricerLGMM1FBackward and PricerLGMM1FForward

True or false. True allows using a different forecast and discount curve on the underlying swaps when calculating the underlying calibration swaptions.

Used in Repo and Security Lending pricing

Tue or false. Default is false.

When set to true, forces the exclusion of the start leg when pricing CA_PV between trade date and start date.

Used in Swap pricing

True or false. True to support for Rand Overnight Deposit Swaps (RODS), or false otherwise.

When true, it takes the reset from the forecast curve only on reset date since the forecast curve is supposed to have already averaged rates.

Used in Cap/Floor and Swaption pricing

True or false. True to not adjust strike with forward basis spread, or false otherwise.

Default is false.

Used in Bond pricing

True or false. True to compute the premium discount with linear amortization, or false for yield based amortization.

Used in Swap and StructuredFlows pricing.

True or false. This parameter works in conjunction with the Book Attribute EODWeek and will only impact pricing if the Trade Book has EODWeek=true. See Book Attributes for description of this attribute.

The parameter allows NPV to be calculated consistently with ACCRUAL on Fridays when EODWeek book attribute=true, and ACCRUAL includes accrual days.

When set to true and Val Date falls on a Friday, NPV and NPV_NET pricer measures will be calculated using discount factors for an Adjusted Val Date. The Adjusted Val Date will be the Val Date shifted to the lesser or:

The last calendar date of the month (if DisableEOM=false), or

The next good business day – 1 calendar day (i.e. Sunday if Monday is not a holiday)

Default is false.

Used for Cross Currency and FX Swap pricing

Used to exclude Initial Principal cashflows from NPV. Similar to the pricing parameter NPV_EXCLUDE_PRINCIPAL, this particular parameter only excludes Initial Principal cashflows.

The purpose of the parameter is to avoid change in PV when the Initial Principal is settled and no longer offsets the Final Principal cashflows at the end of the trade.

Default is false.

When true AND a trade has BOTH Initial and Final principal exchange, then the Initial principal PVs are excluded from NPV measures.

When false, the current pricing is done, and for all other purposes (e.g., cashflows, pricing, variation margin, sensitivities) the initial notional exchange is still taken into account.

In the unlikely event that both NPV_EXCL_INITIAL_PRINCIPAL and NPV_EXCLUDE_PRINCIPAL are both set to true, NPV_EXCLUDE_PRINCIPAL will take priority.

Used in Swap pricing

For single currency swaps with principal exchange:

Default is false.

When true, NPV = NPV excluding the value of any PRINCIPAL cashflows (including Principal Adj cashflows from MTM cross currency swaps) = NPV_NO_PRINCIPAL.

When false, NPV = sum of the present value of all cashflows.

Controls whether PV for PRINCIPAL cashflows is included in NPV pricer measure. This enables Sensitivity (which only uses NPV to calculate Delta) to calculate with principal flow sensitivity excluded. This pricing parameter can be used by the IM/risk calculation process in order to meet ISDA IMM specific requirement for cross currency swaps.

For cross currency swaps:

Default is false.

When true:

For regular xccy swap (no principal adjustment), all Principal cashflow PVs are excluded from NPV (so NPV should be the same as NPV_NO_PRINCIPAL).

For MTM xccy swap (there is a principal adjust on one of the legs) with Initial and Final Exchange: as long as both Initial and Final exchange is specified, NPV will treat the xccy swap like a set of single coupon xccy swaps with initial and final exchange. Therefore, the Final principal PV is always offset by the next fx resetting principal PV.

For xccy swap with principal adjust with uneven principal exchange (Initial only or Final only): no defined requirements have been provided by ISDA, therefore NPV in this case will be the same whether the pricing parameter is set to true or false.

Used for exercising ETO trades, and in Futures and Options pricing

True or false. True to price products from quotes, or false to price products from curves.

For Commodity Forward trades, when this is set to True, the spot quote for the underlying commodity is used.

Default is false.

Used in the pricing of all instruments

True or false. True to include cash received or paid on the valuation date, or false otherwise.

This applies to the calculation of NPV and FEES_NPV.

Used in Fixed Income, Structured Flows, FX pricing, ETO Equity, ETO Equity Index, Equity Structured Options, Swaps

True or false. True to subtract the initial settlement amount from the NPV. For ETO Equity, ETO Equity Index and ESO, to also include the premium, or false otherwise.

NPV_INCLUDE_COST works in conjunction with NPV_INCLUDE_COST_AFTER_SETTLE when NPV_INCLUDE_COST = true and NPV_INCLUDE_COST_AFTER_SETTLE = false. See NPV_INCLUDE_COST_AFTER_SETTLE for details.

All

If false, NPV= Quantity * Valuated Price

If true, NPV = (Quantity * Valuated Price) - (Quantity * Traded Price)

ETO Equity and ETO Equity Index

If true, NPV = (Quantity * Valuated Price) - (Quantity * Traded Price * Contract Size)

Equity Structured Options

NPV = PV - Premium Fees (regardless of date).

Swaps

It is true by default, such that any settled Principal cashflows are considered COST and are included in NPV measures.

FX with Alternate Settle Date

If true, NPV is valuated with two legs before the maximum of the trade settle date and the alternate settle date.

If false, NPV = Quantity * valued price before the maximum of the trade settle date and the alternate settle date.

Used in Bond and Future Options pricing , ETO Equity, ETO Equity Index, Equity Structured Options, and Structured Flows

NPV_INCLUDE_COST_AFTER_SETTLE works in conjunction with NPV_INCLUDE_COST when NPV_INCLUDE_COST = true and NPV_INCLUDE_COST_AFTER_SETTLE = false.

When valDate < trade settle date, the NPV includes the realized trade settle Amount (for bonds) or initial principal cost (for structured flows)

When valDate >= trade settle date, the NPV does not include the realized trade settle amount / initial principal cost

In this case only, NPV and PV have the same values.

Default is true.

Commodity OTC Option and Commodity Swaption

When valDate > trade settle date, If INCLUDE_FEES = TRUE, NPV_INCLUDE_COST= TRUE and NPV_INCLUDE_COST_AFTER_SETTLE = TRUE then NPV = PV – Premium Fees

Used in Asset Swap pricing

True or false. If true, all the cashflows that are due after the valuation date are included for PV calculation. And if valuation date is equal to payment date then you can see the amount in CASH pricer measure.

If false, the cashflows due after the valuation date are not included in PV calculation.

Default is false.

Equity Linked Swap

For Equity Linked swap default value is True.

If set to True, NPV will include unsettled dividend cash flow when the valuation date falls between the ex-date and one day prior to the payment date for the dividend cash flow. If the valuation date is equal to the payment date, then you can see the amount in the CASH pricer measure.

If set to False, NPV will exclude unsettled dividend cash flow when the valuation date falls between the ex-date and one day prior to the payment date for the dividend cash flow. If the valuation date is equal to the payment date, then you can see the amount in the CASH pricer measure.

Used in Repo pricing

True or false. Only applies when INCLUDE_NPV_COLLAT is true.

When INCLUDE_NPV_COLLAT is true and NPV_INCLUDE_HAIRCUT is true:

When NPV_INCLUDE_HAIRCUT is false, the haircut is not included.

Default is false.

Used in Bond and Asset Swap pricing

True or false.

When true, the pricer will include the Option NPV to the Bond for any inflation indexed bond with Guaranteed Notional=true.

When false, the pricer will NOT include the Option NPV to the Bond for any inflation indexed bond with Guaranteed Notional=true.

This flag is ignored for non-inflation bonds and any inflation bonds with Guaranteed Notional=false.

Used in Position Cash pricing

If true, the NPV of a cash or currency pair position will be the amount of cash. For currency pair, this means it will be CUMULATIVE_CASH, and for a currency position, it will be the quantity.

If false, NPV of a currency pair or cash position will be zero.

Not used. It has been replaced by ZD_PRICING.

Used in Cliquet Options pricing

Number of Monte Carlo simulation paths.

Used in Cliquet Options pricing

Number of Monte Carlo simulation stratification bins.

Used in Cliquet Options pricing

Number of scenarios for Monte Carlo valuation.

Used in Cliquet Options pricing

Number of time steps for binomial single asset tree.

Used in Commodity OTC Options pricing

Used for American exercise type. The default value is 3. You can set a different value in the Pricer Configuration in the model specific pricing parameters or at trade level.

Used in Listed Options pricing - PricerFutureOptionMM

Recommended value is 100.

Used in Equity Derivatives pricing

The shift applied in the numerical rho calculation. Default value is 0.01 for 1% parallel shift of rates.

Used in Equity Derivatives pricing

The shift applied to the discrete dividends in the numerical rho2 calculation. Default value is 0.10 for 10%.

Used in Future Option Bond pricing

The shift applied in the numerical vega calculation. Default value is 0.01 for 1%.

Used in single barrier European-style options per Broadie Glasserman and PricerCDSNthLossOFM

Single barrier European-style options

Number of observations of the barrier per year. It is used to adjust the continuous barrier.

PricerCDSNthLossOFM

This is the number of points per year for which to compute the expected loss.

If pricing parameter is not set, the calculation will be using the premium frequency. For indexes this is usually 4 times per year (quarterly).

For a speed up, it is recommended to select an OBS_FREQ of 1 (Annual sampling). This produces results four times faster with small changes in NPV or BE rate.

This is used in both NPV and Jump to Default, and it can be used in combination with MODEL_SPEED and RECOVERY_RATE to optimize the calculation.

The choice has an effect on the PV CREDIT column of the Cashflows tab in the trade window. If the sampling frequency does not result in dates that match the premium coupon dates, PV CREDIT will not show up in those cashflows. Using a daily sampling (OBS_FREQ = 400) will ensure PV CREDIT will always appear in the cashflows, summed up between coupon dates.

Used in Options pricing

Constant option price.

Used in CDSNthDefault pricing

True or false. True to calculate pricing measures for each reference name in a CDS basket, or false otherwise.

Used in Future Options pricing

Comma-separated list of pricer measures that should not be computed but rather retrieve a quote of type <quote_name>.<pricer_measure>.

 Ⓘ   [NOTE: It is currently only implemented for the DELTA pricer measure on future options]

A sample DELTA quote would be “FutureOption.USD.CME.ED.C.99.0000.APR.05.DELTA”.

Used in Precious Metals pricing

Whether to use a Missing Historical Price Policy to find FX resets when pricing Precious Metal trades. Default is false.

Set to true to use the historical pricing policy.

The historical pricing policy may be defined in a user default attribute. The pricing uses the last available quote when FX quotes are missing on the fixing date. Choose Configuration > User Access Control > User Defaults and click Attributes. Add MISSING_HIST_PRICE_POLICY_CLASS_NAME = LastAvailableQuotePolicy (or set to the name of the policy class that you want to use).

Used in FX Swap pricing

True or false. It applies to the computation of PREM_DISC.

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)

Default is false.

Used in Bond pricing

When set to true, computes the PREM_DISC pricer measure from the trade date instead of the settlement date, only when trade date is before issue date.

Default is false.

Used in Bond pricing

You need to set the pricing parameter PREM_DISC_NO_CALL to false to apply the following logic for bonds:

Call Schedule Corporate Actions: we generate the REDEMPTION Corporate Action only when the Call/Put Schedule has been flagged as being Exercised.

For bonds with floating rates or call/put options, the pricer measure PREM_DISC has been updated so that the end date of the amortization is brought forward to the next re-pricing date or call/put date instead of the maturity date.

For bonds with call/put options, you need to set the pricing parameter PREM_DISC_NO_CALL to false for this logic to apply.

For floating rate bonds, you need to set the pricing parameter PREM_DISC_NC to true, and use PricerBondFRN (it computes the Dirty Price and the Yield up to the Next Coupon Date).

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.

Used in BondMMDiscount pricing

NPV_DISC and PREM_DISC_YIELD pricer measures support constant yield accretion using compound yield for BondMMDiscount products by setting PREM_DISC_YIELD_RATE to EFFECTIVE. It can be set to DEFAULT otherwise (default value).

Where: F = Face value, P = Price, days_set = Days from settlement date to maturity date, and YearBasis = Security year basis (daycount).

EffectiveYield = [(1 + (DiscountYield * days_set / YearBasis)] ^ (YearBasis / days_set) - 1

Where: DiscountYield = Annual (uncompounded yield for discounted securities), days_set = Days from settlement date to maturity date, and YearBasis = Security year basis (daycount).

Uses simple discounting for short term bonds and compounding for long term bonds.

Used in Bond and BondMMDiscount pricing

True or false. If true, maintains current logic with PREM_DISC_YIELD value based on the number of decimal places defined on the bond product.

If false, no rounding is performed and therefore will have maximum precision.

Used in ABS Bond pricing with Intex integration

It can be set to Quote, Curve or None:

 Refer to the Calypso Intex Integration User Guidefor complete details.

Used in Futures on Structured Flows pricing

True or false. True to price the future from the structured flows, or false otherwise.

FORECAST_FX_RATE should be set to true and FORECAST_USE_SPOT should be set to false.

Used in PricerFromDB

True or false. If true, PricerFromDB will price inactive, as well as active, trades from the database. That is, PricerFromDB will use pricer measure values stored in the trade_price table for the trade when pricing the trade.

If false, inactive trades are not priced from DB.

Default is false.

Used in Repo and Security Lending pricing

Specifies the security quote rounding method which is used to calculate the collateral value. Select UP, DOWN, NEAREST, or NONE.

This pricing parameter is also able to be set on legal agreements on the Pricing panel. The pricing parameters that are actively defined (not left blank) on the legal agreement will take priority. For parameters undefined in the legal agreement, the values from the pricing environment set, if any, will be used.

Refer to Calypso Legal Agreement documentation for details on defining legal agreements.

Used in Repo and Security Lending pricing

Select the incremental value used by PRICE_ROUNDING_METHOD.

This pricing parameter is also able to be set on legal agreements on the Pricing panel. The pricing parameters that are actively defined (not left blank) on the legal agreement will take priority. For parameters undefined in the legal agreement, the values from the pricing environment set, if any, will be used.

Refer to Calypso Legal Agreement documentation for details on defining legal agreements.

Used in PricerFromDB

True or false.

If true, the terminated trades show the custom prices / PL marks from DB. They show 0 otherwise.

Default is false.

Used in PricerFromDB

True or false.

When true, if you select multiple measures in the Pricing Sheet to be priced using PricerFromDB, and one is missing, the system raises an exception.

When false, these exceptions are not raised.

Default is true.

Used in Equity Derivatives pricing

Select the name of the fallback strategy (quote sequence) to use when the default quote is not available.

Used in Bond pricing

True or false. When set to true, bond prices will be computed with maximum precision (rounding effectively off) in risk analyses. It is not, however, applicable to the trade window, so please note that this will cause pricing results to be different between risk context and the trade window.

Default is false.

Used in FX pricing

Local parameters only.

PRIMARY_RATE and SECONDARY_RATE apply to FX Forward and FX NDF, and to the Far leg of FX Swap and FX NDF Swap.

PRIMARY_RATE_NEAR and SECONDARY_RATE_NEAR apply to the Near leg of FX Swap and FX NDF Swap.

When FX_POINTS = true and these pricing parameters are set, they are used to compute the FX Forward rate, instead of the FX Forward points taken from the FX curve.

Used in Bond pricing

Enter the legal entity role that assumes the risk of the bond. A legal entity of such role should be added in the Bond definition under the Legal Entities panel. The pricer will pick up the risky curves of that legal entity to price the bond.

If not specified, the pricer picks up the risky curves of the bond’s issuer.

Used in Money Market pricing

Local parameter only.

Enter the date at which you want to project the interest using the forward rate to compute “PROJ_” pricer measures.

Used in Swaption pricing - PricerSwaptionBpVol

Constant volatility in basis points for pricing PUT options. This value overrides the value of the BPVOL pricing parameter.

Used in Cap/Floor, Swaption, Commodity, and Equity Options pricing

Constant volatility for pricing PUT options. This value overrides the value of the VOLATILITY pricing parameter.

Used in Spread Cap/Floor pricing

Constant volatility for pricing the second index of a PUT option. This value overrides the value of the VOLATILITY2 pricing parameter.

Used for PricerFutureMMBRL and PricerFutureStructuredFlows that will control whether the PV_OPEN pricer measure is calculated as per current logic or retrieved from the Quote Set

- Type: Boolean (default value FALSE)

- Scope: Global only (not available on the Future Trade Window as a transient parameter)

- If FALSE: current logic applies (no change)

- If TRUE: today’s (Val Date’s) OPEN quote value for the Future Product used by the trade.

Used in Bond pricing

True or false. Only affects the PV pricer measure. When true, the realized settlement flow will be subtracted from the PV only when the valuation date is less than the trade settlement date.

 Ⓘ   [NOTE: This is a slightly different behavior than NPV_INCLUDE_COST, which subtracts the settlement amount regardless of settlement date]

Also, NPV_INCLUDE_CASH and INCLUDE_FEES affect the PV pricer measure.

IF INCLUDE_FEES = true and

IF INCLUDE_FEES = false, fees will not be reflected in the PV amount.

Default is false.

Used in Future Bond Pricing

True or false. When true, the PV01 of Future Bond products is priced using the forward settle date (date of the Future Bond expiry). When false, the existing behavior of pricing the bond with the settle date as the spot date is used.

Default is false.

Used in Swap and Cap/Floor pricing with Quanto adjustment

Constant correlation.

Used in Swap and Cap/Floor pricing with Quanto adjustment

Constant FX volatility.

Used in Swap and Cap/Floor pricing with Quanto adjustment

Constant rate index volatility.

Used in Spread Cap Floor pricing - PricerSpreadCapFloorGBM2F

The quadrature used to evaluate the 1D integral.

Default is Legendre.

Used in Spread Cap Floor pricing - PricerSpreadCapFloorGBM2F

The number of points on the quadrature. Legendre supports all values, whilst Hermite has only 7 and 30 point rules implemented.

Default is 30.

Used every time quotes are used when pricing from quotes

Determines the quote side to use for pricing: BID, MID, ASK, LAST, OPEN, CLOSE.

Commodity cross currency swap will always use close quote of FX reset despite FX reset setup.

 Ⓘ   [NOTE: When Principal Adjustments are used with a Cross Currency Swap, the "Quote Side" setting in the FX Rate Definitions Window will override any conflicting settings in the QuoteUsage pricing parameter.]

Used in Bond pricing

True or false. True to recalculate accruals manually set to 0, or false to keep customized zero values.

Default is true.

Used in PricerCDSIndexTrancheOFM

Used in BaseCorrelation generator. The choices are Fixed and Random. The Fixed choice is the original generator. The Random choice is the new model.

When pricing a trade using the one factor model, the default behavior is to use the same recovery model as on the surface. So if the surface was generated with Random then the PricerCDSIndexTrancheOFM will use the Random Recovery model, otherwise it will use the original method. The pricing parameter RECOVERY_MODEL controls this. The choices are Fixed, Random, and As_Corr_Surface. The default is the As_Corr_Surface, which has the behavior just described: the pricer model is kept in synch with the surface. But by selecting one of the other choices the user can force the choice of model regardless of the surface. This is useful for testing with manual input, for example.

Used in Credit Derivatives pricing

Constant recovery rate.

This is used in both NPV and Jump to Default, and it can be used in combination with MODEL_SPEED and OBS_FREQ to optimize the calculation.

Used in Repo and Security Lending pricing

True or false. True to remove crystallization days before pricing, or false otherwise.

Default is true.

Used in Fixed Income pricing

Repo rate for Bond forward pricing.

If the valuation date is before the settlement date of the bond, the system will retrieve the repo rate for forward pricing. If the repo rate is not provided, the system will use a discount curve and a repo curve in order to produce the repo rate.

Used in Swap, Cap/Floor, Swaption and Structured Flows pricing

Only has an effect when valuation date = any reset date on the trade.

True or false. True to project the reset rate for that date from the forecast curve. False to retrieve the reset rate from the quote set. If no quote is found, then the reset rate is projected from the forecast curve as well.

Used in Swap, Cap/Floor and Swaption pricing

For inflation rate indices.

Only has an effect when valuation date = initial publication date.

True or false. True to project the inflation fixing from the inflation forecast curve. False to retrieve the inflation fixing from the Quote Set. If no quote is found, the pricer will throw a missing quote error.

Used in FX Swap pricing

For RHO calculation, set the compounding frequency. It can be set to PA (default, annual compounding), CNT (continuous compounding) or CURVE_FREQ (curve frequency from Points panel).

Used in FX and FX Options pricing

When computing the pricer measures REAL_RHO and REAL_RHO2, you can choose between a parallel shift (RHO_SHIFT_UNDERLYINGS = false) or underlyings shift (RHO_SHIFT_UNDERLYINGS = true).

Used in FX Window Forward pricing

True or false. Default is false.

When RHO_USE_ORIGINAL_WORST_DATE is true, use the same worst date as NPV to calculate RHO.

When RHO_USE_ORIGINAL_WORST_DATE is false, recalculate the worst date based on the two discount curves and then apply this worst date to compute RHO.

Used in FX Options pricing

True to get the volatility as of the time specified in the pricing parameter VOLATILITY_AS_OF_TIME.

Used in FX Options pricing

Note that it is only active if the Day Change Rule in the pricing environment is set to FX.

If ROLL_VALUE_DT_B is set to true then the NY 5:00 pm rule is used to convert valDatetime to date. If false, then the pricing env time zone is used.

Used in SABR Volatility generation, and PricerSwaptionSABR

Rho value.

Used in SABR Volatility generation, and PricerSwaptionSABR

The SABR implied Black volatility.

Used in Repo and Security Lending pricing

Call method for callable Repo and SecLending trades. Select the end date for the cashflow generation: Earliest Maturity Date or Maturity Date.

Default is Maturity Date.

If the domain value SECFINANCE_PRICING_FORCE_RESET_CASH_FLOWS is set to true, pricing on Earliest Maturity Date is processed by resetting customized cashflows. If SECFINANCE_PRICING_FORCE_RESET_CASH_FLOWS is set to false or not set, even if SECFINANCE_EFFECTIVE_CALL_METHOD is set to Earliest Maturity Date, the pricer disregards this parameter and calculates as of Maturity Date without resetting customized cashflows.

Used in Repo and Security Lending pricing

True or false. When set to true, generates an Excel file which explains the detailed calculations of a result when pricing a trade. Default is false.

After pricing is performed, you can check the log for the location of the generated Excel file.

Used in security Lending pricing

When set to Transfer or not set, the cash collateral transfer is generated on the SecLending trade.

When set to Trade, a Margin Call trade is generated to carry the cash collateral, which is then netted DVP with the Security transfer.

Used in Bond pricing

True or false. When set to true, PV01 and DV01 are calculated to the next reset.

Default is false.

Used in mid-curve Swaption pricing

Shift of the effective shifted-lognormal distribution. If missing, a default value of ‘0.0’ is assumed. Ignored unless VOLATILITY is set as well. Not applicable to Normal2Normal / Lognormal2Normal models.

Used in CMS Spread Caps&Floors

Shift of the effective shifted-lognormal distribution.

They have to be used in combination with VOLATILITY and VOLATILITY_2 to determine volatility + shift. If not set, volatility + shift are taken from the volatility surface.

Not used.

Used in PL Risk Analysis

True or false. True to use the pricing measure specified in the Book Valuation Currency as the basis pricing measure, or false to use the NPV as the basis pricing measure.

Default is false.

Used for NDS and SwapNonDeliverable pricing

True or false. Augments pricing during the period between FX reset rate fixing and the coupon settle date.

True to calculate the present value of all unsettled cashflows in native ccy then use FX Spot to convert, regardless of whether the FX reset rate has been fixed. (The sum of present values for all unsettle cashflows is the NPV of each leg. The present value for the Settle ccy is then calculated by translating the Native ccy present value using the FX Spot rate.)

False to use the FX reset rate to convert the current unsettled coupon to settle ccy and discount with settle ccy df.

Default is false.

Available both globally and at trade level.

Used in Cap/Floor Volatility Surface generation

True or false. True to retrieve the volatility from the cap volatility surface using the cap’s maturity, or false to retrieve the volatility from the cap volatility surface using the reset date of the particular caplet that is being valued.

Used in Commodity Cap/Floor pricing

True or false. True to subtract the spread from the strike before using the strike in the Black-Scholes formula. Should always be set to true to be mathematically correct, but some legacy systems might require false.

No longer used – Use DIGITAL_VALUATION_METHOD instead.

Used in CMS Swap, CMS Cap/Floor pricing

Size of the spread in basis points between the strikes of the call spread.

Default is 10.

Used in PricerFXOptionDigital

Double representing the spread between the 2 strikes of the replication strategy. It is expressed in terms of basis points.

Used for stub interpolation

True or false. True to utilize two forecast curves when a curve for the stub period ccy/index/tenor cannot be found in the pricing environment. One curve is built around a tenor shorter than the actual stub period and the second is built around a tenor greater than the actual stub period. The rate implied from each curve is weighed according to the proximity of the curve tenor to the tenor of the stub period.

Default is false.

Used when converting amounts with an FX rate

Suppress rounding during the final currency conversion. When computing a final amount (not price) of a deal/leg/flow/etc, if the native currency of the computation is in a different currency than the final amount currency we desire (such as converting to settlement ccy or base ccy), we will FX convert the amount then round to the rounding convention for that CurrencyDefault. In some cases (such as when we are computing NPVs of legs of multi-legged products), we want to suppress this rounding until the very end. This pricing parameter instructs the CurrencyUtil (called from the pricer) to suppress that final rounding.

Default is false.

Used in Bond pricing

True or false. If true, the credit curves are not required for pricing risky bonds.

Default is false.

Used with Futures

True or False. Controls whether or not the Price is rounded according to Quote Rounding specified in the Future Contract. When True, no rounding is done. When False, price is rounded according to the contract specifications.

Default is False.

Used in Swaption pricing

Replication method:

Used in mid-curve Swaption pricing

The choices are:

Local parameter for internal use only

True or false. Set to true by the system when pricing from a trade window to prepare display data for cashflows. Set to false by the system when display data for cashflows are not required (when pricing for risk analyses for example) to improve the performance.

Used for Credit Facilities in Scheduled Task OPEN_MATURITYPROCESS

Number of notice days to be added to the transfer generation of Credit Tranches.

This is used by the scheduled task OPEN_MATURITYPROCESS.

Default is 1.

Used to determine Split Currency in FX trading

Name of a triangulation ccy rule. Triangulation ccy rules are defined under Configuration > Definitions > Triangulation Ccy Rule Set.

 For detailed information on this window, please refer to the Calypso Getting Started User Guide.

Used in PricerFXOTheoretical

 Refer to Calypso FX Options Analytics for details.

Used in PricerFXOTheoreticalMonteCarlo

 Refer to Calypso FX Options Analytics for details.

Used in Futures and Options pricing

Spot price of the underlying.

Used in Future Structured Flows DDI and SCC

True or false. True to display measures as points. False to display measures as currency by multiplying values by the CONTRACT_POINT_VALUE attribute defined on the Future Contract.

Default is false.

Used in CDSIndexOption Volatility Surface generation

Upper bound volatility when solving for implied volatility. Default is 1 (100%). Set to 2 for example for 200%.

Used in CMS Swap and CMS Cap/Floor pricing

Bond Default to use for USD (the most liquid bond).

Only if you are using PricerSwap or PricerCapFloor. Not needed for PricerSwapHagan or PricerCapFloorHagan.

Used in Variance Swaps pricing

The possible values are:

Used in FX Options pricing

True or false. True to use ATM volatilities, or false to use Smile volatilities.

Default is false.

Used in Commodity Cap/Floor pricing

True or false. True to turn on volatility adjustment, or false otherwise.

Default is false.

Used in MarketIndex based PerformanceSwapAccrual pricing

True or false. Indicates that the MarketIndex based PerformanceSwapAccrual pricing should use the weighted basket component pricing (for all price fixings) instead of the MarketIndex quote pricing.

Set to true if a basket is attached to the Market Index.

Default is false.

Commodity Market Index Level will be either calculated using the constituents or from MarketIndex quote.

Index Level depends upon Pricing parameter 'USE_BASKET_COMPONENT_PRICING' in conjunction with pricing parameters 'NPV_FROM_QUOTE' & 'FUTURE_FROM_QUOTE'.

When USE_BASKET_COMPONENT_PRICING (default = false) set to false, Market index level is equal to MarketIndex Quote from Quoteset.

When USE_BASKET_COMPONENT_PRICING set to True, Market index level is calculated using sum of weighted price of the constituent and divided by divisor set on Market Index definition. Index level is calculated using latest effective date’s constituents’ weight as per Value Date.

1. NPV_FROM_QUOTE (default = false)

   Applicable when MarketIndex constitutes a Commodity Spot, if the Parameter is set to true, spot quote from Quoteset will be used, else price from commodity forward curve will be used.

2. FUTURE_FROM_QUOTE (default = false)

   Applicable when MarketIndex constitutes a Commodity Future, if the Parameter is set to true, future quote from QuoteSet will be used, else price from commodity forward curve will be used.

Used in Credit Default Swap and FX pricing

True or false. True to use ASK quotes for Sell trades, and BID quotes for Buy trades, or false to use CURVE_USAGE.

If CURVE_USAGE is not set, MID quotes are used.

Default is false.

See also USE_FX_MID for FX rates.

 Ⓘ   [NOTE: We recommend setting this pricing parameter to false because of the way a LAST instance curve is perturbed either for risk analyses, or numerical risk measures (e.g. PV01_CREDIT). The underlyings perturbation bumps the computed MID quote, rather than bumping BID / ASK separately. So the generated perturbed curve points will have BID = MID = ASK, regardless of USE_BUY_SELL_CURVE_SIDE]

Used in Cap/Floor Volatility Surface generation

True or false. True to use the CASH_VOLATILITY parameter of the volatility surface generator.

Used in Correlation Surface generation

True or false. True to perform basis adjustment of probability curves for CDS index trades.

The adjustment is performed on the Curve Points that are stored in a probability curve. Each Curve Point holds a survival probability as of the Curve Point’s date t. Call this P(t). Then an adjusted curve is created by copying the original curve, using the same dates t,  and for each date changing P(t) to Padj(t), where Padj(t) = exp(-ht)*P(t).

The factor h is the basis adjustment which adjusts the probability curves so that the BE_Rate is equal to the Quoted value of the Index. It is the same for all curves in the index.

Used in Future Options and American FX Options pricing

True or false. True to also price the first European numerically, and use it as a control variate.

Used in PricerFutureMM

True or false.

This parameter only applies when FUTURE_FROM_QUOTE is false.

If USE_CONVEXITY_ADJ is false, future is priced with no convexity adjustment and no volatility surface is required.

If USE_CONVEXITY_ADJ is true, future is priced with convexity adjustment and a volatility surface is required.

Default is false.

Used in CDSNthDefault pricing

True or false. True to use correlation quotes for pricing, or false to use the Issuer-Issuer correlation matrix.

Model parameter used in FX and FX Options pricing

True or false.

This parameter controls the impact of the Currency Pair setting "Risky Ccy" on the calculation of FX Delta measures for FX and FX Options.

If true, FX Delta measures are calculated assuming that the risky ccy is the one indicated under the "Risky Ccy" setting in the respective currency pair definition.

If false, FX Delta measures are calculated assuming that the risky ccy is the Primary Ccy, regardless of the "Risky Ccy" setting in the respective currency pair definition.

At the time of calculating a particular type of FX Delta measure, the assumption on the risky ccy setting will make the measure to adapt to the point of view of someone who measures his/her P&L in the other, non-risky, ccy.

Default is true.

Used in Bond pricing

True or false. When set to true, NPV_DISC and CA_PV will be computed with respect to the EFFECTIVE_CALL_METHOD parameter.

Default is false.

Used in Bond and Cash pricing

True or false. True to take into account the Book EOD time for accrual calculation.

Default is false.

For SimpleMM, Cash, CallNotice, it applies to the following pricer measures:

For InterestBearing, it applies to the following pricer measures:

Used in Bond pricing

True or false. True to use external cashflows in pricing.

Default is true.

Used in Security Lending pricing

If true, it provides a way to create fictional cashflows on SecLending trades for NPV computation purposes.

Default is false.

Please refer to Calypso Security Lending Trading for details.

Used in Equity Linked Swap Accrual pricing

True or false. Determines which quote to use for pricing and risk.

When set to true, the fixing type defined in the Resets panel is used. When set to false, the spot quote is always used.

Used in XCcy Bond pricing

If true, future FX rates are forecast, otherwise FX rates are retrieved from an FX Rate Definition - They can be retrieved from the FX curve (FX_POINTS = true), or computed from the discount curves of the currencies.

The following pricing parameters have to be set:

FX_SPOT_RATE = FX rate on the spot date.

ADJUST_FX_RATE = true – To use today’s FX rate as the spot rate.

FORECAST_FX_RATE = true – To forecast future FX rates.

Used in Spot FX pricing

True or false.

It depends on USE_BUY_SELL_CURVE_SIDE.

If USE_BUY_SELL_CURVE_SIDE is true, the system uses Bid/Ask for pricing, regardless of USE_FX_MID.

If USE_BUY_SELL_CURVE_SIDE is false:

Default is true.

Used in Future Option and ETO pricing

True or false.

This parameter only applies when NPV_FROM_QUOTE is true.

If USE_IMPLIED_VOL is set to true, the system computes the implied volatility of the price. In this case, you do not need a volatility surface to price the trade.

The system uses an upper boundary and a lower boundary to find a solution for the price: pricing parameters MAX_IMPLIED_VOL (default is 1000%) and MIN_IMPLIED_VOL (default is -1000%).

If USE_IMPLIED_VOL is set to false, the volatility is retrieved from the volatility surface.

Default is false.

 Ⓘ   [NOTE: For Greeks computation, if NPV_FROM_QUOTE is set to true, USE_IMPLIED_VOL must be set to true as well]

Used in ABS Bond pricing - PricerIntexBondAssetBacked

True or false. When true, the Intex pricer uses the Intex subroutines to compute the requested pricer measures.

Default is false.

Used in CFD pricing

True or false. True indicates that PricerCFD will look for the latest quote for a missing quote. If false, a message will indicate that the quote is missing.

This pricing parameter needs to be manually added to the Pricing Param window, as a Boolean and as a global parameter.

Default is true.

Used in PricerFromDB pricing

True or false. True to initialize pricer measures from PL Marks. PL Marks are searched by Trade or Position ID, Pricing Env, Valuation Date, Measure Name, Product Currency. Only PL Marks of type USER are searched. An exception will be raised if no PL Mark is found. False to initialize pricer measures from the trade_price table.

 Refer to Calypso PricerFromDB documentation for complete details.

Used in NDS Swap pricing and multi-currency Structured Flows

True or false. Default is false, all pricer measures are returned in settlement currency.

If true, the following pricer measures will be returned in the native currency:

Used in Bond pricing

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 to just current business day).

True or false. When set to true, NPV_PRICE = Clean Price(T+1), otherwise NPV_PRICE = Clean Price. NPV, NPV_NET, NPV_DISC, PV, and CA_PV will all be calculated off NPV_PRICE.

Default is false.

When set to true it assumes that ALTERNATE_PL is also set to true. It also requires that ZD_PRICING is set to false.

Used in Swaption pricing

True or false. If false, for EUR and GBP, and for cash settlement being Cash or Cash Price, the swaption pvbp is computed using a par-rate approximation (ISDA specification).

If true, the swaption pvbp is computed off the interest rate curve.

Default is false.

Used in CDS Index Options pricing

True or false. Set to true to activate the no arbitrage model, or false otherwise.

USE_PROJ_FACTOR_FOR_PDY may be used for the calculation of the Pricer Measure, PREM_DISC_YIELD, when the current factor for an MBS or ABS security is not available and is not present in the Factor Schedule. In practice, the “USE_PROJ_FACTOR_FOR_PDY” Pricing Parameter would only be necessary for securities where there is a lag in the factor publication and the use of the Projected Factor is desired. The Projected Factors will be the same as used in the calculation of the Pricer Measure, YIELD_SETTLE_DATE.

Default is false.

Used in Inflation Bond pricing

True or false. True uses PricerBondGeneric for calculation. Price/yield calculations use a constant inflation assumption for future cashflows. The yield displayed will be consistent with YIELD and REAL_YIELD pricer measures.

Default is false.

Used in Spread Lock pricing

If true, the pricer uses the repo curve instead of the funding rate.

Not used.

Used in Cash (Loan / Deposit) window

True or false.

If true, the default feed source is used to retrieve market data, and therefore a Reuters RFA session might be open if the feed source is Reuters RFA.

If false, no feed source is used.

Default is true.

Used in Bond pricing

True or false. Allows specifying whether or not to use a probability curve when calculating PV01.

If set to true, the probability curve will be used.

If set to false, the probability curve will not be used.

Default is false.

Used in FX Position Rollover

True or false. If true, forward points come from the real-time feed.

If false, forward points are from the FX curve or calculated from the zero curve, depending on the setting of the FX_POINTS pricing parameter. If FX_POINTS is true (default), then points are from the FX curve; if FX_POINTS is false, then points are calculated from the zero curve.

Default is true.

Used in Spread Cap Floor pricing - PricerSpreadCapFloorGBM2F, FX Options pricing

True or false. True to use volatilities other than the ATM volatility for each index when evaluating the spread option. When using the non-ATM volatility, we follow the so-called partial smile model of Berrahoui,M. (2004) “Pricing CMS spread options and digital options with smile”, Wilmott, (May):63-69.

Default is true.

Used in credit contingent pricing on Performance Swap, Single Swap Leg, and Asset Swap

True or false. Determines which survival probability to weight the premium payments by. If true, use the survival probability from the start of the coupon period. If false, use the survival probability from the end of the coupon period.

Default is false.

Used in PricerCreditDefaultSwapFlat

True or false. When set to true, the recovery rate from the Standard Recovery Configuration window is used. If available, the values mapped for the legal entity attributes RED_REGION/RED_TYPE are used. If these are not available, it will look for an entry for CDS Senior Unsecured for Region ANY/Type ANY.

When set to false, the recovery rate is taken from the probability curve.

Default is false.

Used in CDSNthDefault pricing

True or false. True to use the stored seed for random number generation, or false otherwise.

If true, the random number generator will always start with the same seed (stored on the class), to ensure that the same random number sequence is used between sessions. This is important for risk measures where repeated pricing for different market data should not be invalidated by noise due to different random number sets.

Used in accounting generation for FXOptionForward

If true, Reversal of COT has the effective date of the TakeUp. It is the settlement date otherwise.

Used in Bond pricing

True or false. When set to true and used with any pricer measure (when applicable), the pricer measure is calculated using the trade settle date rather than the later of the trade settle date or the spot/theoretical date.

 Ⓘ   [NOTE: When pricing TRS trades, setting to false will include the coupon in NPV calculation according to NPV_INCLUDE_CASH pricing parameter]

Used in Structured Product pricing

True or false. If true, the underlying trades of the structured product are priced with the individual parameters for those trades. Otherwise, the underlying trades use the parameters of the Structured Product.

Default is false.

Used in FX Options pricing

True or false. If true, it adds the Vanna Volga adjustment to the Black-Scholes price calculation. Sensitivities (delta, gamma, etc.) will include effects from the adjustment. If false, the standard Black-Scholes calculation is performed.

It is only applicable to full window barriers and does not include multiple barriers, or KIKO (Continuous) barriers.

Used in Cap/Floor Volatility Surface generation

True or false. True to take volatility adjustments such as skews into account.

Used in FX Options and Equity Structured Options pricing

True or false. If true, on the expiry date of the option, the pricer measures will take into account the time to expiry in milliseconds (difference between expiry time and valuation time).

If false, on the expiry date of the option, the pricer measures will reflect the option as expired, regardless of the expiry time.

Default is false.

Used in FX Options pricing

When pricing partial double barriers, and partial digitals with barrier, you can set VALUE_NON_STD_DBL_BARRIER to select the pricing model.

If true, value strictly partial double barriers using the Quad implementation of Black-Scholes dynamics.

If false, value only a combination of start-of-period, end-of-period, at-expiry partial double barriers.

Used in FX and FX Options pricing

True or false. True to calculate the NPV on a settled trade.

Default is false. NPV=0 on a settled trade.

FX Options

If VALUE_SETTLE_TRADE is true for FX Option, then the active expired trade is priced to its value.

If VALUE_SETTLE_TRADE is false for FX Option, then the active expired trade is priced to 0.

FX with Alternate Settle Date

If true, the two legs are valued after or on the max of trade settle date and alternate settle date.

If false, the NPV is 0 after or on the maximum trade settle date and alternate settle date.

Used in Matrix Sheet

Template name of the weighted Vega surface created in the Matrix Sheet parameters.

It is used to compute the pricer measure W_VEGA.

Used in FX Options pricing

True to shift only the ATM quotes for computing Vega, DVegaDvol, DDeltaDvol.

Default is false.

Used in Cap/Floor, Swaption, Commodity, and Equity Options pricing

Constant volatility for pricing options.

Used in FX Options pricing

VOLATILITY_AS_OF_TIME is only used when ROLL_ATM_VOL is set to true. It is the volatility time, for example 5:00:00 PM. Note that the exact format needs to be followed.

Used in mid-curve Swaption pricing

Marginal volatility of the long / short replicating swap. A value of ’1.2’ means 1.2 bp vol for normal marginals, while it is 1.2% for lognormals. Use to numerically calculate corresponding marginal vega.

Used in Barrier-at-Expiry FX Options pricing

Barrier options where the Barrier duration has been set to EXPIRY.

VOLATILITY1 is associated with the upper barrier, and VOLATILITY2 with the lower barrier.

If the volatility pricing parameters are not set, then volatilities will be looked up from the surface. If the user wants to use the same volatility for the strike and for each barrier, that must be typed in manually to each variable.

Used in Spread Cap/Floor pricing

Constant volatility for pricing the second index of an option.

Used in SABR Volatility generation, and PricerSwaptionSABR

Nu value.

Used in PricerFXOVannaVolga

 Refer to Calypso FX Options Analytics for details.

Used in Bond Options pricing

True or false. True to price yield-based bond options.

Used in Fixed Income, Money Market, and FX pricing

True or false. True to discount the NPV to the valuation date from the settle date, or false otherwise.

If true, the NPV is discounted to the valuation date from the settlement date. This is referred to as “Zero Day”. Also, the valuation date will be used to calculate the fees.

If false, the NPV is computed as of the spot date. Also, the spot date will be used to calculate the fees.

Default is false if not set.

The recommended value is true for FX and Money Market, and false for Fixed Income.