Turn Rate - Curve Underlying

You can use turn rates to hedge interest rate risk over year-end periods.

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>.<Start date>.<End date>".

Example: "MM.USD.02-03-2011.03-01-2011".

Ⓘ [NOTE: Turn rate underlyings are associated with the curve using the Resets/Turns panel provided you have selected Curve > Show Reset/Turn Tab - In a multi-curve package, they can be selected in the Underlyings section]

Fields Details

Fields	Description
Currency	Displays the currency for the underlying. Select the currency in the Currency drop-down menu in the bottom of the window.
Start Date End Date	Enter the start and end dates for the turn rate period, which correspond to the last business day of the year and the first business day of the next year, respectively.
DayCount	Select the day count convention.

Fields

Description

Currency

Displays the currency for the underlying. Select the currency in the Currency drop-down menu in the bottom of the window.

Start Date

End Date

Enter the start and end dates for the turn rate period, which correspond to the last business day of the year and the first business day of the next year, respectively.

DayCount

Select the day count convention.