Defining Baskets

This document describes how to create baskets of assets. The ability to create a hybrid basket of assets is possible by adding assets and mapping them to quote names.

Baskets can be created on-the-fly (transient). Use the Basket window to create these baskets.

From the Calypso Navigator, navigate to Configuration > Basket to open the Basket window (menu action product.BasketWindow).

1. Creating a Basket

Basket window

To create a new basket, click

to clear the window.

Enter the basket details:

–

Basket name.

–

Description (free form).

–

Select a currency.

–

The start date defaults to today but you can change it as needed.

–

Divisor used in the computation of the basket level (number of assets in a basket).

To add a component, click

in the Components area, and select the weight type of the basket: Quantity or Weight (percentage).

A row is added to the Components area. You can right-click the Components area to change the column configuration.

–

Click ... in the Asset field to select a product.

You can double-click the Products label in the Product Chooser window to view the list of available products.

For an FX asset, you can select the fixing in the Quotable field.

If the currency of the selected product is different from the currency of the basket, you can define the conversion scheme between the currencies - See Multi-Currency Details below.

–

Enter the quantity or weight of the component. You can also click Apply equal weights to apply equal weights to all components.

Repeat as needed to add more components.

Click

to save the basket. For a keyboard shortcut, type CTRL + S.

NOTE: When saving weighted baskets, an integrity check is performed to make sure component amounts add up to 100%. If the components do not add up to 100%, you receive the message shown below.

Create an on-the-fly (transient) basket. Name the basket and click to add it to the transient basket drop-down. If any asset information is missing, the user will be prompted to add it.

A transient basket must be named and saved in order to load into a trading window or a Pricing Sheet.

To delete a basket, click

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.
Fixed FX Rate	If you have selected Quanto, enter the FX rate to convert the product amount into the basket amount.

2. Modifying a Basket

You may load existing baskets in the window to view or edit them.

To load an existing basket, click

. For a keyboard shortcut, type Ctrl +O. You will be prompted to select a basket.

Modify as necessary.

Click

to save your changes.

3. Importing a Basket from Excel

The import process for product baskets is tied to the Excel application. To import, the following steps must be taken:

Select cells in Excel.

Copy the data to the clipboard.

Click

in the Basket Window.

The basket will be imported into the Basket window.

NOTE: If the Basket window is unable to interpret certain properties from the clipboard, it will leave the corresponding cell(s) blank in the Basket window.

4. Exporting a Basket to Excel

The export process for baskets is tied to the Excel application.

Click

to export the currently loaded basket to Excel.

The file should automatically display itself in Excel.

NOTE: If the file you are trying to export is in a different format than specified by the file extension, you may need to verify that the file is not corrupted.

5. Importing Baskets Between Calypso Environments

You can import baskets from an XML file, as well as export baskets to an XML file. These functions are especially useful when working on projects that span multiple Calypso environments.

To Export to an XML file

Click

Select a file to export.

After the export is executed, you will have the option to display the file. The screen will be displayed as shown below.

To Import from an XML file

Click

to import a basket to the Calypso environment.

Select the file and it will appear in the Basket window.

6. Analyzing a Basket

Select the Analysis panel to compute the basket level.

Note that you need quotes and market data on the valuation date for each product in the basket.

Enter a valuation date and click Price. It computes the basket level.

where

•

D = Divisor

•

wi = Quantity of the i^th component

•

Li = Spot Level of the i^th component

•

FXi = The FX Rate to translate the i^th component to the basket currency - Fixed Quanto rate if Quanto, or prevailing FX rate from FX Rate Definition if Compo

To view product definitions and other product information, select a product and click Product Info. The panel will appear as shown below.