Capturing Extendible Swap Trades

An extendible swap contains an underlying swap with the option to extend it.

 

Choose Trade > Interest Rates > Extendible Swap to open the Extendible Swap worksheet, from the Calypso Navigator or from the Trade Blotter.

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Enter option and swap details in the Trade panel. Option details are described below.

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Then enter more trade details as described in Capturing Swap Trades.

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You can extend the swap using Back Office > Exercise.

 

Option Details

Fields	Description
BUY/SELL	Direction of the trade from the PO perspective. Select BUY or SELL.
Extension Type European	Select "European". The swap can only be extended on the expiration date. » The expiration date defaults to the maturity date. » Enter the delivery date in the Del Dt field. » Double-click the “-2D Bus LON” label to bring up the OptionCalcDialog. See OptionCalcDialog below. » Enter an extension fee amount in the Fee field. » Enter the extension date in the Ext Date field.
Extension Type Bermudan	Select "Bermudan". The swap can be extended according to a user-defined schedule. » Select the Option panel to define the extension schedule. See Defining a Bermudan Extension Schedule for details. The Exp Dt and Del Dt fields in the Trade panel are not editable. » Double-click the “-2D Bus LON QTR” label to bring up the OptionCalcDialog. See OptionCalcDialog below. » Enter the extension date in the Ext Date field.
Extension Type American	Select "American". The swap can be extended within a date range. » Enter the last exercise date in the Exp Dt field, and the first exercise date in the First Ex Dt field. The swap can be extended between those two dates. The background color will change if the date is not a business day. You can double-click the Exp Dt label to roll the date to the previous business day. » Double-click the “-2D Bus LON” label to bring up the OptionCalcDialog. See OptionCalcDialog below. » You can also define an extension schedule for American options. See Defining an American Extension Schedule for details.

 

OptionCalcDialog

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Select the holiday calendar.

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Enter a number of lag days, months or years in the Offset field.

Days lag “D” can be business days or calendar days. Double-click the Bus label to switch to Cal as needed.

For months lag “M” and years lag “Y”, the system uses calendar days only.

The “No Tenor” checkbox only applies to days lag, when you enter more than 31 days. If you check the “No Tenor” checkbox, the offset will not be converted to a tenor, as shown below for 35D.

Otherwise it will be converted to a tenor. Note that the conversion is for display only. The system always stores 35D.

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For Bermudan options, select the frequency of the extension dates.