Defining Rate Indices

Select an index name.

If the desired index name does not appear, click Add to add it to the "rate_index" domain.

 Ⓘ   [NOTE: The index name cannot contain spaces]

Select the currency of the index.

Select the default daycount convention to determine the number of days in an interest period.

Daycount conventions are described under Help > Day-Count Conventions.

Click ... to select quoting sources for the index as applicable.

If the desired quote source name does not appear, click Add to add it to the "rate_index_source" domain.

Select the default date roll convention to roll non-business days.

Date roll conventions are described under Help > Date Roll Conventions.

Select the time zone in which the rate is published.

Enter the time at which the rate is published in the selected time zone.

Select the default interest period generation rule.

Select the frequency at which the rate is published.

For the weekly frequency, you can select the day of the week the rate is published from the Day field.

When Inflation is selected for Index Type, the quarterly frequency also allows you to select the month of the year.

For Interest indices, you can select NON and select a publication date rule instead for complex frequencies. See Publish Date Rule below.

For Inflation indices, select a publication frequency and then enter a reference day and a publication lag.

The reference day is the day of the month when the inflation is effective, and the publication lag is the time lag between the effective date of an inflation level and its actual publication.

 Ⓘ   [NOTE: Publication Freq and Reference Day settings also have an impact on dates for interpolated points in the Inflation Curve window. See "Inflation Curve" in the Analytics and Pricing Environment documentation for details]

You can click Publications and generate the dates to make any modification if needed. Otherwise the reference day and publication lag are used to determine the publication dates, and the reference day and publishing frequency are used to determine the reference dates.

 Ⓘ   [NOTE: The system does not support end-of-month reference days 29, 30, and 31. This restriction also pertains to the Publications Dates window described above when modifying the Reference Date fields]

Select the default quoting source from the list of sources defined for that index.

Only applies to Interest indices.

Instead of selecting a publication frequency, you can click ... to select a date rule to generate the publication dates based on complex frequencies. Date rules are created using Configuration > Definitions > Date Schedule Definitions > Date Rule.

Click ... to select default payment holiday calendars.

Used to set the default payment dates for interest rate trades.

Only applies to Interest indices.

Click ... to select default reset holiday calendars.

Used to set the default reset dates for interest rate trades.

Only applies to Inflation indices.

Click ... to select default publication holiday calendars.

Enter the number of days between the period end date, and the actual payment date, if paid in arrears. Entering 2 indicates that the payment date occurs 2 days after the period end date.

Or enter the number of days between the period start date, and the actual payment date, if NOT paid in arrears.

Only applies to Interest indices.

Enter the number of days between the actual reset date and the payment period end date, if reset is in arrears. Entering 2 indicates that the reset occurs 2 days before the payment period end date.

Or enter the number of days between the actual reset date and the payment period start date, if reset is NOT in arrears.

Only applies to Inflation indices.

Enter the number of days (D), weeks (W), months (M), or years (Y), between the actual publication date and the period end date, if paid in arrears. Entering 3M indicates that the publication occurs 3 months before the period end date.

Or enter the number of days (D), weeks (W), months (M), or years (Y), between the actual publication date and the period start date, if NOT paid in arrears.

Check to indicate that the Pay Days lag is measured in business days, or uncheck for calendar days.

Check to indicate that the interest is paid at the end of each coupon period, or uncheck if the interest is paid at the beginning of the period.

Check to indicate that the Reset Days lag / Index Lag is measured in business days, or uncheck for calendar days.

Check to indicate that the index resets / is published at the end of each coupon period, or uncheck if the index resets /is published at the beginning of the period.

Only applies to Interest indices.

Select a compounding frequency if applicable, or NON.

Only applies to Inflation indices.

Select the calculation method:

 Ⓘ   [NOTE: The "Calc Mtd" setting also has an impact on dates for interpolated points in the Inflation Curve window. See "Inflation Curve" in the Analytics and Pricing Environment documentation for details]

Only applies to Interpolated Inflation indices.

The only option is "Weighted". Index levels are interpolated using the following formula.

For example, to calculate an interpolated May 12^thCPI index level, which has a 3 month lag:

 Ⓘ   [NOTE: The Daycount set on the Rate Index Definition is used by the interpolation formula when calculating dd and DiM. For example, if 30/360 is set as the Daycount, DiM will always use 30]

Select Bond, Interest, Inflation, Notional Factor, or Swap.

Bond Index Type

The Bond type should be used for CMS/CMT bond indices.

Set the bond default in the rate index attribute CMT_BOND_NAME.

Inflation Index Type

For inflation-based rate indices. A full setup example of the inflation index is described in the Inflation Swap documentation.

Interest Index Type

Standard rate index.

Notional Factor Index Type

The Notional Factor type should be used for SELIC bond indices.

In the rate index attribute UNDERLYING_RATE_INDEX, specify the index to be used in case the notional factor quote is unavailable and one needs to be projected.

Swap Index Type

The Swap type should be used for CMS swap indices. When you select Swap, click Swap to specify the most liquid swap.

Select the rounding method for the rates.

Rounding methods are described under Help > Rate Rounding.

 Ⓘ   [NOTE: When you select NONE,  there is no rounding of the rate – All decimals are retained]

This checkbox is not related to the interpolation method of Inflation indices.

When checked, there is no automatic interpolation applied to stub periods, otherwise stub periods are automatically interpolated.

Select the quote type for the rate.

Enter a free form comment.

Click ... to open the Formula Helper window that allows defining a rate index using a formula combining other indices.

You can also enter the formula directly in the Formula field, and click Parse to check the syntax. The parser recognizes any “common-formatted” algebraic expression. It also has some predefined useful functions, like Gaussian curves, min, max, etc. For more information, refer to the Javadoc for the com/calypso/tk/util/parser/ExprFunction class.

Used for overnight rate indices in Advance trades.

It should be set to VRC to identify such rate indices, so that the trades can be identified as VRC.

Not used.

Enter the name of the holiday calendar that was set up for AED EIBOR rate resets. This holiday calendar uses the rule type AED-SATURDAY-NBD.

See Defining Holiday Calendars for details.

Not used.

Bond default name for CMS/CMT bonds.

Not used.

Holiday calendars for Cost To Carry computation of Cash Positions.

Set to DailyCompound to allow daily compounding (recommended setting).

See Note on Daily Compounding for details.

Note that you should set DailyIndexCalculator OR IndexCalculator, not both. IndexCalculator takes precedence over DailyIndexCalculator.

Other calculators are available out-of-the-box:

Allows users to hide selected tenors for newly created Swaps, Swaptions, and Structured Products. You can enter a comma-separated list of tenors. No spaces are needed.

 Ⓘ   [NOTE: Previously saved trades using discontinued tenors will still have the tenors available and selected]

A list of comma-separated tenors to be excluded from being used within stub interpolation (on the Stub Periods tab of the Product Details window). You can use the scheduled task ADJUST_STUB_TENORS to recalculate stub periods on existing trades.

For use in conjunction with the Index Calculator: FallbackISDA for LIBOR trades. This is the date on which the new Index Calculator is set on the LIBOR Rate Index. When Val Date is before the FallBackCalculatorAsOfDate, the Fallback ISDA Index Calculator logic is not applied.

Set to true to crystallize the last known rate for averaging rates, MRO rate for example.

Default is false.

Used for EONIA index calculator only.

Set to true to compute the final interest using estimated future daily resets, or false to compute the final interest using the final estimated reset only.

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

Default is false.

Used for Colombian indices.

Please refer to Calypso Fixed Income documentation for details.

Used for Colombian indices.

Please refer to Calypso Fixed Income documentation for details.

Used for specific rate indices:

See Capturing Inflation Swaps for details.

You can also set to PayOffBasedInflation. For AUD CPI bonds, it uses the AUDCPI calculator and for the other AUD CPI products, it uses the InflationIndexKerkhof calculator. This way, you only need to define one rate index for all AUD CPI products.

See Capturing Brazilian Swaps for details.

See Capturing CMS Swaps for details.

See Note on Daily Compounding for details of overnight indices.

See Capturing OIS Swaps for details.

See Capturing Chilean Swaps for details.

See Capturing Chilean Swaps for details.

See Recommended SOFRAVG Setup, and Recommended SOFRINDEX Setup for details.

See Specifying Libor Fallback for complete details.

 Ⓘ   [NOTE: DailyBanrep can only be used to repos]

Set to true to identify a prime rate so that the COF-PRIME spread is displayed for Advances.

See Capturing Advances for details.

Set to true to take the reset from the forecast curve only on reset date since the forecast curve is supposed to have already averaged rates.

Default is false.

The underlying overnight rate index that the compounded rate index is referencing.

E.g. For a SOFRAVG rate index that references an already-established SOFR rate index defined with the Index Name SOFR, set to SOFR.

In the case of LIBOR fallback trades, this is the name of the RFR rate index that is replacing libor.

Default is empty.

It can be set to OIS for the OISNew calculator to use the compounding calculation of the OIS calculator.

See Note on Daily Compounding for details.

Set to true to optimize average deals when performing MTM and revaluation.

Default is false.

Only applies to Repo and SecLending trades.

Allows specifying the default reset timing on a given index. The only possible values are END_PER or BEG_PER.

ISDA code.

The attribute is in the form “RATE_INDEX_CODE.<source>”, for example “RATE_INDEX_CODE.T350” = EUR-EURIBOR-TELERATE.

If the attribute is specified, its value will be used in messages, otherwise the index will be identified as “<currency>-<index name>-<index source>”, for example EUR-EURIBOR-T350.

OIS swaps

When DailyCompound calculator is used, you can specify how to round the rate.

ROUND_FINAL_DAILY_RATE_DEC – Rounds the accumulated rate for the trade. Only applies to multiplicative spreads.

Rate = Round(Daily Rate * Accumulated Rate)

ORIGINAL_RATE_DEC – Rounding applied to the saved rate in the quote set.

DAILY_RATE_DEC – Rounds the daily published rate after applying the period.

Rate = Round(Rate)

FINAL_RATE_DEC – Rounds the product of the accumulated rate and accumulated spread.

Rate = Round(Accumulated Rate * Accumulated Spread)

Inflation products

When InflationIndex calculator is used, and when Calc Mtd = Interpolated, you can specify how to round the interpolated CPI value.

Applies to rounding of rate indices with index factor and spread.

Here is the list of possibilities using both attributes.

ROUND_FINAL_RATE = True, ROUND_FINAL_RATE_ISDA = True

Rate = No rounding

Final Rate = Round(Rate * Index Factor) + Spread

ROUND_FINAL_RATE = False, ROUND_FINAL_RATE_ISDA = True/False

Rate = Round(Rate)

Final Rate = Round(Rate) * Index Factor + Spread

ROUND_FINAL_RATE = True, ROUND_FINAL_RATE_ISDA = False

Rate = No rounding

Final Rate = Round(Rate * Index Factor + Spread)

True or false. Default is false.

Set to true to allow rate lookback. You can set the number of days in RateLookbackDays.

Number of days to look back for missing quotes if today’s quote is not available.

True or false. Default is false.

To be used when the rate index tenor is greater than 1 year, and the payment frequency is less than the rate index tenor. When it is set to true, the cashflow generator uses the rate index tenor to generate reset dates instead of the payment frequency.

For the EONIA rate index, it must be set to SICOVAM.

Note that on the bond, rounding for accrual digital = rounding for coupon rate decimal = 6/DOWN.

No longer used as of patch 903. Select the Index Type “Swap” instead.

Used for multiple rate indices like SIFMA and MUNIPSA. Can have the value of label2 in the CRIF file. If the existing hardcoded mappings do not map to any label2, this rate index attribure is used to map the index to label2. Used in MARGIN_INPUT scheduled task.

Only applies to Notional Factor indices.

Specify the index to be used in case the notional factor quote is unavailable and one needs to be projected.

Only applies to Inflation indices that are defined as Index Level but use a forecast curve whose points are reference (settle) dates instead of inflation date (actual dates on which inflation is set).

In this case, it should be set to true.

Default is true. In-arrear convexity adjustments are applied when Reset Timing = END_PER. It is based on the correlation between the payment frequency and the index frequency.

Set to false to ignore in-arrear convexity adjustments.

Set to true to use the frequency of the curve definition to retrieve forward rates, or false otherwise.

It should be set to true for the CDI rate index.

Set to true to use payment holidays from the rate index to generate swap start and end date.

Default is false.

Set to true to roll Forward End Date using both Rate Index Defaults Reset and Pay Hol, else just Reset Hol is used.

Default is false.

Specify an index for daily projection rates for Brazilian NTN-B or NTN-C bonds.

Select the averaging method:

Select the averaging period.

For a weekly averaging, you can select the day of the week when the averaging period starts from the Week Day field.

Enter the number of days prior to the payment date to specify the beginning of the averaging period.

In the example below, the index is based on the standard EONIA but the reset date will be 7 days prior to the coupon date.

Only applies to daily averaging.

Enter the number of days prior to the payment date for the rate reset cutoff, usually “1”.

The Bus label indicates that the cutoff is a number of business days. Double-click the Bus label to change to Cal as applicable for indicating that the cutoff is a number of calendar days.

Select Match or Custom. Match indicates that the rates are sampled over the entire averaging period. Custom indicates that the averaging period is a custom averaging period implemented via the toolkit.

Enter the number of decimal places for rounding.

Only applies to weighted averages.

Check to not adjust sample dates according to holidays, or uncheck to adjust sample dates according to holidays.

Select the underlying index which is the basis for the average calculation, or is the basis of the rate index.

Note that if an index is based on another index, when you enter the quotes of the underlying index, the quotes of the index are automatically calculated.

You can also use an underlying rate index to crystallize the value of a rate index. For example, if you specify a rate index with underlying rate index EONIA, and set the IndexCalculator attribute to EONIA, the quote of the EONIA will be crystallized on the rate index.

Example: French T4M

The French T4M is a weighted monthly average of the EONIA:

Similarly:

Example: MRO Index

The MRO index averages weekly.

It uses a specific index calculator. You can also set the attribute FWD_CRYS to true to crystallize the last known rate.