Exotic Settlement Report

The Exotic Settlement report allows projecting lifecycle events for Pricing Script products (KI, KO, physical delivery, coupon).

1. Before You Begin

For many of the features present in the Exotic Settlement report, the Payoff variables need to be mapped to the reporting items. Sample mappings:

Applicable for script features	Report Item	Variable Name
KO	KO_LEVEL	KO_Barrier
KO	KNOCKED_OUT	KNOCKED_OUT
KO	SCHEDULE_KO_VARIABLE	CouponPayment
KI	KI_LEVEL
KI	KNOCKED_IN	KNOCKED_IN
KI	SCHEDULE_KI_VARIABLE	KI
Basket	WORST_LEVEL_INDEX	Basket
Note	REFERENCE_PRICE	InitialFixing
Note	SCHEDULE_COUPON_PAYMENT_VARIABLE	CouponPayment
Note – Digital	COUPON_STRIKE	CouponStrike
Note – Digital	COUPON_RATE	EquityRate
Note – Fixed	COUPON_RATE	FixedRate

From Calypso Navigator choose Configuration > System > Add Pricing Script Mapping (menu action refdata.MappingPricingScriptReportWindow) to bring up the Pricing Script Mapping window.

Pricing Script Mapping window

Select a report item at the top of the window.

Enter the variable name at the bottom of the window.

Check the boxes to select the pricing scripts to which the selected mapping applies.

Click Apply.

2. Running the Report

From Calypso Navigator choose Reports > Securities Reports > Exotic Settlement Report (menu action reporting.ReportWindow$ExoticSettlement) to bring up the Exotic Settlement report.

You can select View > Show Frame > Criteria to specify search criteria as needed.

Exotic Settlement report - Selection criteria

Select a specific Trade Filter or choose ALL.

Use the "From" and "To" fields to limit the results to trade events in a specified time range.

Tick the "Only display notes with event on the selected date" checkbox to only show the products with events on the valuation date.

Tick the "Use Reset Date" checkbox to select events by reset date. They are selected by payment date otherwise.

Specify the pricing environment and valuation date at the bottom of the report window.

By default, the pricing details are current:

–

The pricing environment defaults to the one set in the User Defaults.

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The valuation date is the current date and time.

You can click the down arrow to change the default values.

Click

to run the report and view the results.

Exotic Settlement report - Sample results

You can click

to print the report results.

Exotic Settlement Report Results

Click any column heading to sort the results based on that column.

Right-click any column heading to modify the report configuration. Included in the Configure Columns selection list, among an assortment of options, is a folder containing Security Codes, as shown below.