Quotes Window

The Quotes window allows saving market quotes for market-traded instruments, currencies, exchange rates, interest rate indices, curve underlying instruments, and volatility surface underlying instruments. These quotes can be used to value trades, price instruments in your portfolio, and generate other market data representations such as curves.

Quotes saved from real-time source feeds are displayed in the Quote window.

1. Managing Quote Names

Quotes are entered based on quote names. Quotes names are associated with products, rate indices, currencies, etc. when they are created.

If needed, you can manage quote names using Configuration > Fixed Income > Default Quote Type from the Calypso Navigator. You can also specify the number of decimals (or -1 to use the default number of 8 decimals).

All existing quote names are loaded by default.

You can select a quote name and modify the number of decimals as needed.

You can check New Quote and add a quote name as needed.

Click Save to save your changes.

2. Loading and Entering Quotes

From the Calypso Navigator, navigate to Market Data > Market Quotes > Quotes (menu action marketdata.QuoteJFrame).

Select the quote set to save / retrieve quotes, enter a date, and click Load.

You can narrow the list of quotes by entering filter criteria. All criteria are described below.

You can use commas as delimiters in the "contains" field (e.g., USD.LIBOR.3M, FX) and this will result in loading quotes containing either entry.

Enter the quotes.

You can store and use several types of quotes for the same instrument.

You can enter Bid, Ask, Open, Close, High, Low, and Last quotes for any Quote Name. Note that the reset/fixing process only uses Close quotes.

You can change the quote type on-the-fly. Double-click a Quote Type cell and select a quote type.

The entered date displays the date the quote was saved for that quote name (manually or through the SAVE_QUOTES scheduled task).

The entered user is the name of the user who entered the quote.

The EstimatedB flag is for information purposes only - It can be set to distinguish between estimated values and official values.

The known date is the first time the quote was saved.

The source name displays the source feed address for quotes populated by a real-time source feed.

[NOTE: If you enter 0, the quote will be saved as a known value of 0, it is not the same as “quote not set” or “unknown quote” – To set the quote to “unknown” or “not set”, you need to delete the quote row – See Deleting Quotes for details]

Click Save to save all displayed quotes.

You can also click Save Selection to save only the highlighted quotes.

Quotes are saved in a Quote Set by date and time (the time however is for information purposes only).

If the environment property QUOTE_ALLOW_IN_FUTURE is true, you can save quotes in the future at any date. Otherwise, you can set quotes in the future for the number of days specified in QUOTE_MAX_DAY_FUTURE after today. The default value is N, and the default number of days is 3.

Note that if the Authorization mode is enabled, another user will have to authorize your entries.

Fields Details

Field	Description
Quote Set	Select a quote set to save / retrieve quotes.
Date	Defaults to today. You can enter a different quote date.
Set	After you have loaded and entered quotes at a given date, you can change the date and click Set to set the new date on the quotes. You can then save the quotes using the new date.
Use Date Range	Check “Use Date Range” to load quotes between two dates. The Date field becomes the from date, and a new field appear for the to date. You can select business days or calendar days for the date range and select holiday calendars to determine business days. Ⓘ [NOTE: If favorite calendars have been defined, you can only select a holiday calendar from the favorite calendars]
Product Code contains	Select a product code and type in a few characters in the “contains” field. Then hit [Enter] or click Load. The quote names that satisfy the criteria will be loaded. You can click Add to save this search as a template. You can load existing templates from the Filters field. The field below the “contains” field displays the current search criteria. Click Clear to start a new search. You can set the environment property NB_PRODUCTS_FOR_LOAD_QUOTE to adjust the behavior for loading quote names. - If set to “-1”, the system only loads the quote names matching the criteria. - If set to “0” (default), the system loads the products matching the criteria and all associated quote names. - If set to x (integer), the system loads the products and all associated quote names if the number of products is less than x for a given set of criteria, otherwise it only loads the quote names.
Exclude Matured Products	Check to exclude quotes of products that have expired.
Merge With the Existing	Say you already have a quote on 04/01/2020 as follows: Now, you resave the quotes on the same date, and leave the Ask empty: If you check “Merge with Existing”, the Ask will keep its existing value of 0.8632, otherwise it will be unset.
Filters	Select a template if any, or _ALL_. You can create template from the “contains” field, see above.

3. Deleting Quotes

To delete a quote, select a loaded quote and click Delete. The quote will be set to “unknown” or “not set”.

Ⓘ [NOTE: If you enter 0, the quote will be saved as a known value of 0, it is not the same as “quote not set” or “unknown quote”]

Ⓘ [NOTE: Hitting Ctrl+X on a quote cell will NOT delete the quote – You need to delete the whole row using the Delete button to delete a quote]

4. Auditing Quotes

Select one or multiple quotes from the list of displayed quotes, and click Audit Selection to display audit information. You can also run the Audit report using from the Calypso Navigator.

The Audit mode must be turned on, refer to the Calypso Security User Guide for information on enabling the Audit mode.

Note that different audit schemes can be set up for Quotes. In the domain classAuditMode, you can choose between the following values:

QuoteValue: Default behavior – Audit is only triggered when a CLOSE quote is modified.

QuoteValue and QuoteValue_InsertDelete – Audit is triggered when a CLOSE quote is added, modified, or removed.

QuoteValue and QuoteValue_AllInstances – Audit is triggered when any quote is modified (unless QUOTE_AUDIT_CLOSE_B is true, in which case only CLOSE quotes are audited).

QuoteValue, QuoteValue_InsertDelete, and QuoteValue_InsertDelete – Audit is triggered when any quote is added, modified, or removed (unless QUOTE_AUDIT_CLOSE_B is true, in which case only CLOSE quotes are audited).

5. Displaying Quotes Pending Authorization

Click Show Pending Authorizations to display any quote pending authorization. This only applies if the Authorization mode is enabled.