Fixed Income Products

This section describes the various types of Fixed Income products supported by Calypso. Help is available from all trade worksheets - Choose Help > Trade Help in any trade worksheet for complete details.

Functions common to all trade worksheets are described under Calypso Front Office Tools documentation: trade functions, trade menus, Details panel, Cashflows Panel, Fees panel, etc.

See Front Office Tools for details.

 

Trades can be captured from the Trade > Fixed Income menu in the Calypso Navigator or in a Trade Blotter.

 

Bonds

Product Name	Definition	Trade Worksheet
Bond	All types of bond products and interest money markets.	Trade > Fixed Income > Bond
Bond Forward	An OTC forward contract on a bond product.	Trade > Fixed Income > Bond Forward
Bond Future	A future on a bond product.	Trade > Fixed Income > Bond Future
Bond Future Option	A future option on a bond product.	Trade > Fixed Income > Listed Future Options
Issuance	A bond issue from the perspective of the processing organization.	Trade > Fixed Income > Issuance
OTC Bond Option	An OTC option on a bond product.	Trade > Fixed Income > OTC Bond Options

 

Deal Capture Only

For the following products, support includes capture of trade properties and cashflow generation - No native pricing is available - There is no risk computation.

Product Name	Definition	Trade Worksheet
Bond	Cap/Floor/Collar on bond payout. Multi-currency bond (quanto).	Trade > Fixed Income > Bond
Asset/Mortgage Backed Securities	US Government Agency (15 and 30 year) pass through securities only.	Trade > Fixed Income > Bond