Basis Two Swap - Curve Underlying

The Basis Two Swap underlying allows specifying a spread between two swap trades.

 

Before you begin

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Create rate indices using Configuration > Interest Rates > Rate Index Definitions from the Calypso Navigator.

 

Creating a Basis Two Swap Underlying

The basis two swap underlying has two floating indices and a fixed rate, and can be cross-currency.

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Select a currency at the bottom of the window.

You can click Load to load any existing underlying.

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Click New to create a new underlying.

Complete the basis swap fields as described in the Basis Swap Underlying.

See Basis Swap Underlying for details.

Complete the fixed side fields described below.

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Click Save to save the underlying. It is given a unique ID by the system, and is displayed in the table.

 

Fields Details

Fields	Description
Pay Fixed Basis	Check to pay the fixed side, or clear to receive the fixed side.
DateRoll	Select the date roll convention. From the Calypso Navigator, navigate to Help > Date Roll Conventions for details.
Holidays	Select holiday calendars.
Freq	Select the payment frequency.
DayCount	Select the daycount convention displayed from the rate index definition.
Rule	Select the accrual period adjustment rule on non-business days.