Cash (Money Market) - Curve Underlying

 

Before you begin

• Setup currencies using Configuration > Definitions > Currency Definitions from the Calypso Navigator.
• Create holiday calendars using Configuration > Definitions > Calendar Definitions from the Calypso Navigator.
• Create rate indices using Configuration > Interest Rates > Rate Index Definitions from the Calypso Navigator.

 

Creating a Cash Underlying

» Select a currency at the bottom of the window.

You can click Load to load any existing underlying.

» Click New to create a new underlying.

Complete the fields described below.

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

 

The system creates quote names like: "MM.<Currency>.<Reference index>.<Maturity>.<Source>".

Example "MM.USD.LIBOR.3M.LIBO01".

 

Fields Details

Fields Description

Currency

Currency selected at the bottom of the window.

DayCount

The day count defaults from the rate index definition - See Main Entry > Help > Day-Count Conventions for descriptions of the conventions.

Type

Select the type of cash underlying: INTEREST or DISCOUNT.

DateRoll

The date roll defaults from the rate index definition - See Main Entry > Help > Date Roll Conventions for descriptions of the conventions.

Ref Index

Select the rate index.

Source

Select the quoting source for the rate index.

Maturity

Select the maturity of the underlying.

You can click ON to create an overnight instrument, TN to create an overnight instrument from tomorrow, or SPOT to create a spot instrument.

Specific

You can check Specific to create an underlying with a specific start date and end date.

Spot Days

Enter the spot days for the underlying as needed.

Holidays

The holiday calendar(s) defaults from the rate index definition. You can click ... to modify the calendar selection.