Equity Index Product Definition

Prior to trading an equity index, you need to create the Equity Index product.

 

1. Defining an Equity Index

To define an equity index product, from Calypso Navigator choose Configuration > Equity > Equity Indexes (menu action product.EquityIndexWindow) as shown below.

1.1 Loading an Existing Equity Index

You can load an existing equity index into the Equity Index window using one of the following methods:

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

Then click Search to load the corresponding equity index.

Equity Index window - Loading an equity index by security code

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

Equity Index window - Loading an equity index

 

Then modify the fields described below as needed.

 

1.2 Creating a New Equity Index

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Click and enter the fields described below.

 

1.3 Modifying an Equity Index Name

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Click to rename the Equity index. You will be prompted to enter a new name.

 

1.4 Setting Custom Data

 Ⓘ   [NOTE: The Custom Data button is deprecated and has no function beginning in Release 12.0]

 

1.5 Saving an Equity Index

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Click to save your changes. You will be prompted to enter an equity index name.

The system also saves a quote name for the product that is used to enter / retrieve market quotes.

You can also click to save the equity index as a new product. You will be prompted to enter a new name.

 

Definition Fields Details

Fields	Description
Name	This name identifies the equity index throughout the system, and appears in the quote name. When you save the equity index, you will be prompted to enter the name for the index.
Product Id	Unique ID given by the system when the equity index is saved.
EquityIndex Type	Select the product subtype. The subtype is for information purposes and can be used for filtering equity indices.
Currency	Select the currency in which the index is quoted.
BB_CALC_TYP	Expand this label to view all the security codes defined for equity index products. You can enter a value for each security code as applicable. You can create new security codes using Calypso Navigator > Configuration > Product > Code.
Country	Select the country for the index.
Exchange	Click … to select the exchange where the index trades. The market place is a legal entity with the MarketPlace role. You can expand Exchange to enter the Spot Days: default number of business days between the trade date and the settlement date. Business days are determined using the holiday calendar of the market place.
Issuer	Select the issuer of the index. The issuer is a legal entity role Issuer. You can expand the Issuer to select the IPA (issue paying agent) of the index. The issue paying agent is a legal entity with role IPA.
Provider	Select the data provider for the Index. The data is used to determine the amount of cash in the index.
Publish	Expand the Publish label to specify publication details: • Frequency: Select the frequency at which the index is published. You can select a date rule instead in the Date Rule field. For weekly / monthly frequencies, you can enter the day of the week / month in the Day field. • Holiday: Select the holiday calendar. • Hour / Minute: Enter the time of day the index is published. • TimeZone: Select the time zone for the publication time. • Date Rule: You can select a date rule to determine the publication frequency instead of the Frequency field.
External Reference	Enter an external reference as applicable.
Quote Type	Select the type of quote for the equity: Price, PriceVol, or PriceC (when the price is quoted in the number of cents). Fixing Types The following fixing types are supported in addition to CLOSE, OPEN, HIGH, LOW, and LAST: • Future Price Reference (EDSP) - This is a special quote typically known at the Open of the market trading. EDSP is published by a future or option exchange. • Volume Weighted Average (VWAP) - The average price of the day is popular as a fixing because many exchanges and brokers allow clients to Buy or Sell shares at the VWAP. Therefore, Fixing at the VWAP facilitates the orderly removal of hedge transactions. • Prezzo di Riferimento (PDR) - A special Italian Exchange-published level that is used to settle exchange and OTC derivatives.
Date Roll	Select the date roll convention when the publication date falls on a non-business day. Date roll conventions are described under Calypso Navigator > Help > Date Roll Conventions.
Sources	Select the sources that publish the index if multiple sources apply. Sources are defined in the domain equity_index_source. You can expand the Sources label to select the Default Source.
Comment	Enter a free-form comment as needed.

 

2. Specifying Constituents

Select the Constituents panel to define the content of the index.

Equity Index Window - Constituents panel

Step 1 - Click to add a set of constituents. You will be prompted to enter an effective date and time.

 

Step 2 - Then click to add individual constituents and select the weight type of the basket: Quantity or Weight (percentage).

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Select the asset. If the asset currency is different from the equity index currency, you can define the conversion scheme between the currencies - See Multi-Currency Details below.

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Enter the quantity or weight of the asset. You can also click "Apply equal weights" to apply equal weights to all assets. It is to be noted that, the check to ensure weights of all constituents amounts to 100%, is accurate upto 10 decimal places.

Repeat as needed.

Click to save the constituents of the index.

 

Multi-Currency Details

Fields	Description
FX Pair	Displays Product currency / Basket currency.
Quanto/Compo	Select whether the basket level is computed based on a fixed rate (Quanto) or an FX Rate definition (Compo).
FX Reset	If you have selected Compo, select an FX Rate Definition to convert the product amount into the basket amount.
Quanto Rate	If you have selected Quanto, enter the FX rate to convert the product amount into the basket amount.

 

Importing the Constituents from an Excel Spreadsheet / a Basket

You can export the content of a basket to an excel spreadsheet by clicking in the Basket window (Calypso Navigator > Configuration > Basket). You can also create an Excel spreadsheet that contains the constituents of the index.

Then in the Excel spreadsheet, select the constituents you want to import and hit [Ctrl-C].

In the Constituents panel of the Equity Index window, click to paste the constituents into the panel.

 

3. Specifying Dividends

 Ⓘ   [NOTE: The Dividend panel is not supported and must not be used to create dividends. The dividends must be created directly from the Corporate Actions window]

 

4. Specifying Equity Resets

You can define multiple equity resets using the Equity Reset tab as needed. You can then select the actual equity reset to be used when you capture the trades.

By default, the system adds an equity reset for the Exchange specified in the Equity Index definition.

To add more equity resets, click and select a source and a type. You can modify the name as needed.

If no default equity reset is specified, the trades will use the "CLOSE" equity reset which corresponds to the spot quote.

When using equity resets, you can set the fixing quotes for the quote name: "EquityReset.<equity index name>.<reset name>".

For example: "EquityReset.HSI.NASDAQ_PDR".

Make sure to save the Equity Index.