Capturing Swap Trades

The Swap worksheet allows capturing any type of swap trade through the use of the extended type, and through the configuration of exotic structures.

It also allows capturing cross-currency swaps and non-deliverable swaps.

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

Swaps Quick Reference

When you open a Swap worksheet, the Trade panel is selected by default.

Entering Trade Details

You can select a template from the Template field to populate the worksheet with default values. Then modify the fields as applicable.

Or you can enter the trade fields directly. They are described below.

Note that the Trade Date is entered in the Details panel.

Proceed to the other panels as applicable.

For defining break clauses, choose

Saving a Trade

Hit F5 to save the trade, or choose .

You can also hit F3 to save the current trade as a new trade, or choose Trade > Save As New.

You can also hit F12 to save the trade using any action available in the workflow, or choose Trade > Save Action. You will be prompted to select an action.

A description will appear in the title bar of the trade worksheet, a trade id will be assigned to the trade, and the status of the trade will be modified according to the workflow configuration.

Pricing a Trade

You can choose to check if all required pricing data are available in the Pricing Environment.

Click Price to price the trade.

You can hit F11 to solve for the break-even rate, and apply it to the fixed leg of the swap.

You can hit F12 to solve for the break-even spread, and apply it to the floating leg of the swap.

Hit F9 to bring up the solver (or choose ).

Select a target pricer measure and enter the target value. Then select the value to solve for (pay rate, receive rate, FX rate, notional, index factor), and click Solve.

You can click Apply to set the value to solve for on the trade. Then click Price to obtain the target value.

You can modify the solver variables and details as needed.

Trade Lifecycle

You can terminate a swap using

You can reset the floating rates of the swap from the Calypso Navigator using , or using the RATE_RESET scheduled task

You can use Pricing Env > Check Past Resets to check for any missing rate reset.

You can set the fixing between currencies from the Calypso Navigator using

You can use Pricing Env > Check Past FXResets to check for any missing FX rate reset.

See also - All Trade Menus for information on functions, menus and panels common to all trade windows

1. Sample Vanilla Swap Trade

This document describes all the fields of the Swap worksheet. You can click the links below for information on capturing specific types of swaps:

Brazilian Swap Trades

Cancelable Swap Trades

Capped Swap Trades

Chilean Camara Swap Trades

CMS Swap Trades

Credit Contingent Swap Trades

Cross Currency Swap Trades

Exotic Swap Trades

Extendible Swap Trades

In Arrear Swap Trades

Inflation Swap Trades

Non Deliverable Swap Trades

Overnight Index Swap Trades

Quanto Swap Trades

Real Yield Swap Trades

2. Fields Description

The fields of the standard swap worksheet are defined here.

Trade Details

Fields	Description
Role/Cpty	The first two fields of the worksheet identify the trade counterparty. The first field identifies the trade counterparty's role. The default role is specified using Utilities > Set Default Role. However, you can change it as applicable. You can select a legal entity of specified role from the second field provided you have setup favorite counterparties. You can also type in a character to display the favorite counterparties that start with that character. Favorite counterparties are specified using Utilities > Configure Favorite Counterparties. Otherwise, click ... to select a legal entity of specified role from the Legal Entity Chooser. You can also type [Ctrl-F] to invoke the Legal Entity Chooser, or directly enter a Legal Entity short name.
Book	Trading book to which the trade belongs. Defaults to the book selected in the User Defaults. You can modify as applicable. You can select a book provided you have setup favorite books. Favorite books are specified using Utilities > Configure Favorite Books. Otherwise, click ... to select a book. The owner of the book (a processing organization) identifies your side of the trade.
Id Ext Ref Int Ref	Unique identification number of the trade. The trade id is automatically assigned by the system when the trade is saved. You can load an existing trade by typing the trade id into this field, and pressing [Enter]. You can also display the internal reference or external reference. The default trade reference to be displayed can be selected in the User Defaults. The internal reference and external reference can be set in the Details panel of the trade worksheet.
Status	Current status of the trade. The status is automatically assigned by the system based on the workflow configuration. The status will change over the lifetime of the trade according to the workflow configuration and the actions performed on the trade.
Template	You can select a template from the Template field to populate the worksheet with default values. Then modify the fields as applicable. If you setup favorite templates, only the favorite templates will be available for selection. You can setup favorite templates using Utilities > Configure Favorite Templates. In some trade window, you can click ... to setup favorite templates.

Subtype

The subtype is set by the system based on the type of swap being captured.

Example: Arrear, ArrearConvexityAdj, CMS, CMT, Exotic, Inflation, Standard, RangeFloater.

You can set pricers and market data by swap subtype.

Broker

Displays the broker, if a broker fee is captured in the Fees panel.

Swap Details

You can begin by entering the trade details in either the left or right panel. Note that as you enter each value, the application copies it to the other leg if applicable. There are three direction signs in the middle of the worksheet. Double-click the signs to toggle between:

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>> Copy to the right panel.

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<< Copy to the left panel.

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--- Turn off copying.

Choose Swap > Save Panel Directions to save the settings.

Fields

Description

Fix/Float/Exotic/RealYield

Select Fix to define a fixed leg, Float to define a floating leg, or Exotic to define a structured swap.

You can also select an exotic structure type if you have defined any. In the Calypso Navigator, see Configuration > Product > Structure Type Creator for details.

For details on defining a fixed leg, see Fixed Leg below.

For details on defining a floating leg, see Floating Leg below.

For details on defining structured swaps, see Capturing Exotic Swap Trades.

For details on defining real yield swaps, see Capturing Real Yield Swap Trades

Pay/Receive

Direction of the trade from the book’s perspective. Double-click the Pay label to change to Rec as applicable.

The adjacent field defaults to the currency selected in the User Defaults. You can select another currency as needed.

Enter the principal amount in the adjacent field. You can use shortcuts, for example enter “10m” for 10,000,000.

Actual

Check the Actual checkbox to indicate that the principal amount will be exchanged, otherwise there is no exchange of principal.

Check the boxes as applicable to exchange the initial principal, the final principal, or the amortized principal.

Bullet

Double-click the Bullet label to define the amortization structure of the principal. It brings up the Swap Detail window. You can set amortization details in the Amortization and Accrual panel - Help is available from that window.

Start

End

Enter the start and end dates of the swap. The start date defaults to the spot date of the selected currency. You can modify it as needed. You can use shortcuts, for example enter “1y” for one year, [Ctrl+N] for today, etc.

Note that the system uses the payment calendar to calculate the spot date. For a fixed leg, it is the payment calendar of the selected currency. For a floating leg, it is the payment calendar of the selected index. You can modify it as needed in the Payment Details area.

A date that appears with a red background indicates a non-business day. Hit [+] or [-] to move the date one day forward or backward, respectively. You can also double-click the Start or End label to move to the next business day.

Fixed Leg

Fields

Description

Rate

Enter the fixed interest rate in percentage. The number of decimals first defaults to the Rate Decimals setting in the Currency Default window and then the Rate Decimals setting in the User Defaults window (up to 8 decimals) in that order of priority. To give priority to the Rate Decimals setting in User Defaults, you can enter -1 for a particular currency in the Currency Default window.

See "Defining Currencies and Currency Pairs" in the Getting Started documentation for further details.

To define a fixed rate schedule, click ... and specify the payment details.

Select a date rule from the Coupon Date Rule field to generate the schedule using the date rule, or select a frequency from the Frequency field to generate the schedule using a frequency.

Enter start and end dates.

Select date roll information, daycount convention, holiday calendars, and the accrual method.

Then click Generate Schedule to generate the schedule and enter the rates.

You can also click to add rows to enter specific dates.

Click Save to save the schedule. The payment details are updated on the trade worksheet.

Fixed Amount

Check the Fixed Amount checkbox and enter an interest amount in the adjacent field.

Cmp

Check the Cmp checkbox to enable interest compounding.

Select the compounding frequency from the adjacent field. The compounding frequency must be more frequent than the payment frequency.

Double-click the Flat label to toggle between:

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Flat — Flat compounding.

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Spread — Does not apply to fixed rates, only to floating rates.

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SimpleSpread — Does not apply to fixed rates, only to floating rates.

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NoCmp — A cashflow is created at the compounding period without actually compounding the interest.

There is no compounding otherwise.

NONE

(payout formula)

This feature is obsolete. You should create an exotic structure instead.

Floating Leg

Fields

Description

Reference Index

Select the reference index. The reference index is defined by a currency, rate index, tenor and source.

The currency and rate index default to the currency and default index selected in User Defaults.

The tenor and source default to the first tenor and source available for that rate index. Rate indices are created from the Calypso Navigator using Configuration > Interest Rates > Rate Index Definitions.

You can modify the default values as needed.

You can enter a spread in basis points over the rate value in the field adjacent to the tenor. If you double-click the source label (LIBOR01 in this example), it brings up the Product Detail window:

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You can define a spread schedule in the Index and Resets panel. Help is available from that window.

Inflation Index

If the rate index is an inflation index, please see Capturing Inflation Swap Trades for details.

Cmp

Check the Cmp checkbox to enable interest compounding.

Select the compounding frequency from the adjacent field. The compounding frequency must be more frequent than the payment frequency.

When you select a DLY compounding frequency for a rate index that is not setup for daily compounding, the DailyCompound calculator is used.

See Capturing Overnight Index Trades for details on daily compounding.

Difference between LUN and LUN(R), BIWK and BIWK(R), WK and WK(R). For a 3M swap paying MONTHLY compounding WEEKLY:

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Original method splits the 90 days into periods of 7 days and puts the remaining as STUB.

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Regular (R) method splits the 90 days into 3 periods of 30 days each, and then splits the 30 day periods into periods of 7 days thus leaving stubs on each coupon period.

Double-click the Flat label to toggle between:

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Flat - Flat compounding - The spread is added after the compounding is computed if any. Current period interest is calculated using floating rate plus spread. But compound interest is calculated using floating rate only (and the spread is not added).

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Spread - The interest compounds at the rate value plus spread. Double-click the spread value to enter it. It brings up the Product Detail window. You can set the spread value in the Index and Resets panel. It can be a fixed value or a spread schedule. Help is available from that window.

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SimpleSpread - This involves compounding the Floating Rate but treating the spread as simple interest. In other words,the floating rate interest is earned at the end of a period but not the spread (only the floating rate is added back into principal). The spread is then calculated on the principal for the entire calculation period without compounding.

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NoCmp - A cashflow is created at the compounding period without actually compounding the interest. The daily rate resets for the floating rate are used to calculate the simple interest everyday and summed to find the total interest for the period.

For the compounding frequencies LUN(R), BIWK(R) and WK(R) you can set a compound stub in the Product Detail window.

BEG_PER/END_PER

Double-click the BEG_PER label to switch to END_PER as needed:

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BEG_PER indicates that the reset occurs at the beginning of the reset period.

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END_PER indicates that the reset occurs at the end of the reset period – The trade becomes “in arrear”, and the subtype is set to “Arrear”.

Lag

Double-click the Lag label to define the lag between the actual reset date and the beginning or end of the reset period. It brings up the Product Details window. You can set interest payment lag details in the Index and Resets panel. Help is available from that window.

NONE

(payout formula)

This feature is obsolete. You should create an exotic structure instead.

Exotic Leg Details

For details on defining structured swaps, see Capturing Exotic Swap Trades.

Fields	Description
Formula	Click Structured Window to define the coupon formula and / or notional formula. Help is available from that window. When the formula is applied, it is displayed in the exotic leg.

Rate Reset Details

Fields

Description

Avg

Check the Avg checkbox to sample resets at a frequency different from the payment frequency. Otherwise, the resets are sampled at the payment frequency.

Select the sampling frequency from the adjacent field.

When the sampling frequency is more frequent that the payment frequency, you can define the weight of the resets, and the duration of the sampling period.

Weight

Double-click the Equal label to toggle between:

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Equal — Resets within the sampling period are equally weighted.

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Weighted — Resets are weighted according to the number of days for which they apply. For example, if a reset occurs on a Monday, the weight is 1 day; if it occurs on a Friday, the weight is 3 days (Friday, Saturday and Sunday).

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Simple — The reset rate is calculated as the mean rate within the sampling period.

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Cutoff Adj. — Calculates weighting up to cutoff date. The cutoff date is set as a number of days from the last sample period’s end date. Double-click any red label to set the cutoff lag in the CutOff Lag field of the Index and Resets panel.

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Cutoff Weekly — If you specify a reset cutoff, the last sample period will be “end date – reset cutoff”. Double-click any red label to set the cutoff lag in the CutOff Lag field of the Index and Resets panel.

Duration

Double-click the Match label to toggle between:

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Match — Rates are sampled over the entire averaging period. You can double-click the “, , 0” label to define resets’ effective day and a cutoff lag. It brings up the Product Detail window. You can set reset details in the Index and Resets panel. Help is available from that window.

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Custom — Rates are sampled over a user-defined period. Double-click the “0, , 0” label to define the number of days of the sampling period, as well as resets’ effective day and a cutoff lag. It brings up the Product Detail window. You can set reset details in the Index and Resets panel. Help is available from that window.

Ⓘ [NOTE: The effective day of the resets only applies to weekly and monthly sampling (weekly: day of the week, monthly: day of the month)]

NONE / 1st Rate / Init Fixing Date

Select “1st Rate” to set the rate for the first reset in the “1st Rate” field.

You can bring up the Product Detail window to specify the first reset rate rounding method in the Rounding panel. Help is available for that window.

Or, select "Init Fixing Date" then double-click the red label to the right to open the Lag details window. From here you can specify a different first reset offset, business or calendar days, the holiday calendar, and date roll.

Otherwise, select "NONE" and the rate will be set through the reset process.

Payment Details

The payment details allow generating the cashflows.

Ⓘ [NOTE: When you define a fixed rate schedule, the payment details are defined as well, and the fields below are set accordingly. If you modify the fields below, make sure to regenerate the fixed rate schedule]

Fields

Description

Pmt

Select the payment frequency.

You can also select a date rule to determine the payment dates and the interest dates. Double-click the “Lag 0” label. It brings up the Product Detail window. You can select payment and coupon date rules in the Date Rules panel. Help is available from that window.

You can add custom frequencies to the “frequency” domain in the form of tenors like <number>D, <number>W, <number>M, or <number>Y. The tenor is case sensitive. D, W, M, or Y should be entered using uppercase.

END_PER/BEG_PER

Interest Method

Select END_PER if the payment occurs at the end of the payment period, or BEG_PER if the payment occurs at the beginning of the payment period.

END_PER

Select EXP or ACC for an exponential interest calculation from the adjacent field, or select NONE otherwise. ACC only appears if the floating rate is an inflation rate, or, if a fixed leg has ZC payment frequency, bullet amortization, and end period payment timing.

Interest = Notional * ((1 + Rate)^t[n] - 1).

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For EXP: t[n] = Current Coupon Period n

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For ACC: t[n] = Total Period from Coupon 1 through n.

BEG_PER

You can select one of the following discount methods from the adjacent field.

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NONE – No discount.

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DISC

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FWD_DISC - Same as FIX_RATE_DISC for FRAs – Interest at beginning of period = interest amount at end of period /(1 + Fixed Rate * daycount/basis)).

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FWD_DISC_FRA – Same as FWD_DISC for FRAs - Discounts the payment/receipt amount from the end date to the start date using the fixing rate.

Date Roll

Select the date roll convention to roll the payment dates when they fall on business days. The payment calendar is used to determine business days.

Date roll conventions are described in the Calypso Navigator under Help > Date Roll Conventions.

Roll Day

Select a date roll adjustment.

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NONE — The payment date is rolled according to the selected date roll convention. If the payment date is end of month, the EOM adjustment is applied.

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DAY — Enter a fixed day of the month to which the date will be rolled. For example, entering “5” forces the payment date to be on the fifth calendar day of the month. Entering “31” indicates the last day of the month, even for months with fewer than 31 days - The selection changes to EOM.

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IMM — The payment date is rolled according to the IMM_WED date roll convention by default. If the date roll convention is IMM_MON, then the payment date is rolled according to the IMM_MON date roll convention.

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EOM — The last day of the month, regardless of the number of days in the month.

Lag

Double-click the “Lag 0” label to specify the number of days between the interest date and the payment date. It brings up the Product Detail window. You can set payment lag details in the Date Rules panel. The Payment Lag field can be used to specify the lag for Principal and Principal Adjusted cashflows. Help is available from that window.

Ⓘ [Note: To apply the payment lag to principal flows, the domain value "isApplyPmtLagtoPrincipalFlows" must be set to True .]

Daycount

Select the day count convention to determine the number of days in the payment periods.

Daycount conventions are described in the Calypso Navigator under Help > Day-Count Conventions.

Payment Calendar

Click ... to select payment calendars. They are used to determine business days.

NEAREST

(rounding method)

Double-click the NEAREST label to define the rounding method. It brings up the Product Details window. You can set rounding details in the Rounding panel. Help is available from that window.

NONE

(stub periods)

Double-click the NONE label to define or override stub period settings. It brings up the Product Details window. You can set stub details in the Stub Periods panel. Help is available from that window.

The system automatically creates the stub periods when needed if Product > Automatically Adjusting Stub, or Product > Warn before Adjusting Stub is checked. Otherwise, you can define stub periods manually in this panel.

ADJUSTED

(accrual period)

Double-click the ADJUSTED label to define how the accrual period is adjusted on non-business days. It brings up the Product Detail window. You can set accrual details in the Amortization and Accrual panel. Help is available from that window.

Intermediate Currency

Check to capture an intermediate currency as needed between the principal amount's currency and the settlement currency.

Select the intermediate currency, and the FX rate reset to determine the FX rates to convert the principal amount.

The FX rate reset is between the principal amount's currency and the intermediate currency.

FX rate resets are defined from the Calypso Navigator using Configuration > Foreign Exchange > FX Rate Definitions.

Alternatively, you can check the "Fixed Rate" checkbox and set the FX rate in the adjacent field.

Check the "Reset Lag" checkbox to determine the FX reset lag and holiday calendars in the adjacent fields as needed.

The following columns have been added to the cashflows:

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Intermediate Reset Date - Reset date for the intermediate currency: "Payment date - reset lag"

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Intermediate FXReset - FX rate fixing

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Intermediate FXReset Desc - FX rate reset definition

Settlement Currency

Check to capture the settlement currency when an intermediate currency is specified, or if the settlement currency is different from the principal amount's currency.

When you select a settlement currency, the trade becomes a non-deliverable trade.

See Capturing Non-Deliverable Swaps for details.

Select the settlement currency, and the FX rate reset to determine the FX rates to convert the principal amount.

The FX rate reset is between the settlement currency and the intermediate currency (if specified), or between the settlement currency and the principal amount's currency.

FX rate resets are defined from the Calypso Navigator using Configuration > Foreign Exchange > FX Rate Definitions.

Alternatively, you can check the "Fixed Rate" checkbox and set the FX rate in the adjacent field.

Check the "Reset Lag" checkbox to determine the FX reset lag and holiday calendars in the adjacent fields as needed.

The following columns have been added to the cashflows:

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Settlement Reset Date - Reset date for the settlement currency: "Payment date - reset lag"

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Settlement FXReset - FX rate fixing

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Settlement FXReset Desc - FX rate reset definition