GenericCDS - Curve Underlying

Specify a curve underlying using a generic CDS trade. Use this type of underlying for a sector curve.

In the 'GenericCDS' tab:

» Select the sector for the curve to use. You can select ANY to use a rating only.

You can click Load to load any existing underlying.

» Select a tenor.
» 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.

 

Example "CDS.USD.ANY.ANY/4Y".

 

Fields Details

Field Description
Sector

Sector defined by the rating agency (Markit, Fitch, etc.).
Tenor

Tenor for the curve generator.
Currency

Underlying currency type. Field is non-editable. select currency type from drop-down at the bottom of the window.
Agency

Ratings agency. If you do not see a specific agency, add it to your domain values.
Ratings

Select the rating for the sector.
Region

Select the geographic region.
Frq

Underlying (payment) frequency.
DayCount

Select the daycount convention.
DateRoll

Select the date roll definition. From the Calypso Navigator, navigate to Help > Date Roll Conventions for details.
Hol

select the holiday schedule.
Start Lag

Define the start lag details (number of lag days, Cal for calendar days or Bus for business days).
Roll Maturity

Select the roll maturity.
Stub

Select the stub period if any.
Period Rule

Select the accrual period adjustment on non-business days.
Has Upfront Fee

Check to attach an upfront fee.

Select the details (number of fee lag days, Cal for calendar days or Bus for business days).

 

Scheduled Task for Updating Roll Maturity

The scheduled task UPDATE_CURVE_UNDERLYING can be used for bulk updating the roll maturity of CDS curve underlyings and regenerating the curves.

Task Attributes

• UNDERLYING TYPE – Select the underlying type: CDS, Generic CDS, or Fixed Coupon CDS.
• UNDERLYING CCY – Select a currency as needed to be updated, or leave blank to update all.
• ROLL FREQUENCY – Select the roll frequency: SA or QTR.