Exotic Note Definition

An Exotic Note is a position based product with a pricing script as the only payoff.

 

1. Defining an Exotic Note

To define an Exotic Note, from Calypso Navigator choose Configuration > Equity > Exotic Note (menu action product.BondExoticNoteWindow).

 

1.1 Loading an existing Exotic Note

You can load an existing Exotic Note in the window using one of the following methods:

» Select a security code type from the Security Code list and enter the actual code value in the adjacent field.

Then click Load to load the corresponding Bond Exotic Note.

» You can also click near the top of the window to open the Product Chooser Window. Help is available from that window.


 

1.2 Creating a new Exotic Note

» Click and enter values in the fields. The fields are described below.

 

1.3 Modifying an Exotic Note's Name

» Click to rename the Exotic Note. You will be prompted to enter a new name.

 

1.4 Saving an Exotic Note

» Click to save your changes. You can click to save as new.

 

Definition Fields Details

Field Description

Name

Name of the Exotic Note specified upon saving.

Product Id

Unique ID given by the system when the Exotic Note is saved.

Principal Amount

Enter the total amount of the note.

Principal amount must be multiple of note's denomination.

Denomination

Enter the minimum tradable unit.

Start Date

Enter the start date.

Issue Date

Enter the issue date.

Maturity Date

Enter the date the note matures.

Maturity Date Lag

You have the option to offset the maturity date.

Currency

Select the currency of the Bond Exotic Note.

Security Code

Expand this label to view all the security codes defined.

You can enter a value for each security code as applicable.

You can create new security codes using Calypso Navigator > Configuration > Product > Code.

Issuer

Select the issuer, a legal entity of role Issuer.

Comment

Enter a text comment as applicable.

Underlying

Click ... and select the underlying from the Product Chooser Window.

Upon selection, the underlying type, currency, and description will be displayed.

You can click Product Info to view more Product details related to the underlying.

Fixing

You can select an equity reset as needed. Equity resets are defined in the Equity Definition or Equity Index Definition. If not selected, the default is CLOSE, indicating that the fixing is done using the spot quote.

FX Reset

For FX underlyings, you can select the FX Reset used to fix prices.

Payout

Select an available pricing script from the drop-down menu.

Specify the script parameters as necessary.

Please refer to Calypso Pricing Script documentation for details on defining pricing scripts.

 

2. Generating the Cashflows

Select the CashFlows panel.

Exotic Note Definition window - Sample cashflows

» Select a valuation date from the Val Date field and select a pricing environment from the Pricing Env field.
» Click Generate and the cashflows will be displayed.
» Select the type of cashflows you want to display from the Display field. You can choose to display only interest cashflows, only principal cashflows, or all cashflows.
» You can click Check Past Resets to bring up the Quote Window.
» Right-click any cell to display the Cash Flow Menu.

 

Cash Flow Menu Details

Menu Item Description

Copy Ctrl-C

Paste Ctl-V

Allows copying and pasting into values.

Select a cell, type Ctrl+C, then select another cell and type Ctrl+V. The content of the first cell will be pasted into the second cell.

Add

Right-click a row and choose Add. The selected row will be split between two rows. The first one will be one day long, and the second one will fit the remaining term of the original period. You can edit the periods as applicable.

Remove

Right-click a row and choose Remove. The selected row will be removed.

Scheduler

Only applies to the Notional, Spread, and Rate columns.

Open the Scheduler dialog.

Check Resets

Checks the reset rates.

Configure Columns

Allows selecting and organizing the displayed columns.

Rename Columns

Allows customizing the columns names.

Save Configure Columns

Allows saving the column configuration.

Lock Column

Right-click a modified value and choose "Lock Column" so the value will not be overridden when the cashflows are generated.

A locked column will show a star to the left of the column heading.

Lock All Modified Columns

Allows locking all columns containing modified values.

Unlock Column

Right-click a locked column and choose "Unlock Column" to unlock.

Unlock All Columns

Allows unlocking all locked columns.

Show Paydown Periods

Right-click a row and choose "Show Paydown Periods" to show any paydown.

Interest History

Right-click a row and choose "Interest History" to display the Interest History window.

Show External Flows

External cashflows are defaulted to Calypso-generated cashflows unless they have been imported from Bloomberg.

You can paste cashflows copied from an Excel spreadsheet into the external cashflows. External cashflows are only saved once they have been modified.

Recalc

When cashflows have been customized, choose Recalc to displays the cashflows without overriding unlocked columns.

Generate

To generate the cashflows.

 Ⓘ   [NOTE: If you have customized the cashflows and not locked the columns containing modified values, you should not choose Generate. Choose Recalc, which will prevent the columns from being overridden]

Export to Excel

Allows exporting the cashflows to an Excel spreadsheet.

Export to HTML

Allows exporting the cashflows to an HTML page.

 

3. Viewing the Pricing Script

Select the Pricing Script panel to view the Pricing Script definition.

Exotic Note Definition window - Sample Pricing Script

 

4. Event Grid

Select the Event Grid to display lifecycle events for the Exotic Note. It allows checking that the dates are properly generated.

Note that lifecycle events will only appear if they have been configured for the selected Pricing Script.

Please refer to Calypso Pricing Script Lifecycle Events documentation for details.

» Click to copy selected cells to the clipboard.
» Click to export the table to Excel.

 

5. Legal Entities

You can select the Legal Entities panel to specify product codes for multiple legal entities.