Capturing "In Arrear" Swap Trades

An “In Arrear” swap trade resets at the end of the reset period.

 

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

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Double-click the BEG_PER label to change it to END_PER. The subtype is set to “Arrear”.

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

 

 Ⓘ   [NOTE: A convexity adjustment is applied for In Arrear Swaps, and this requires including a RATE volatility surface in the Swap trade's Market Data]