Defining Message Templates

If you add #<locale> after any amount keyword, the amount will be formatted in the specified locale provided the environment property USE_MESSAGE_AMOUNT_FORMAT is set to True.

Otherwise, the amounts are formatted according to the default format ###,###.##.

Example: TRADE_SETTLEMENT_AMOUNT#US.

The <formatter> can be:

Examples: TRADE_SETTLEMENT_AMOUNT#FormatNumber#SWIFT, TRADE_SETTLEMENT_AMOUNT#FormatNumber#CUSTOM1

With CUSTOM1, defined as:

If you add #<format> after any date keyword, the date will be formatted with the specified format.

Date formats follow the Java date format:

https://docs.oracle.com/javase/8/docs/api/java/text/SimpleDateFormat.html

Example: #yyMMdd or #yyyyMMdd.

Otherwise, the dates are formatted according to the language selected on the message configuration.

NOTE: FEE_*_DATE message keywords have two parameters. The first parameter is the fee type and the second parameter is the date format.

Example: FEE_DATE#COMM##yyMMdd – The Fee date for the COMM fee will be displayed as yyMMdd.

Shows all the message keywords supported for a given message formatter.

trade.getSettleDate().

Agreement Date of the event.

Effective Date of the event.

HTML table listing fees.

BASKET keywords can only be used inside the BasketComponent iterator.

True if the underlying product is a basket, or False otherwise.

HTML table listing broker fees.

Broker name.

HTML table containing broker settlement.

Book attribute.

CASHFLOW keywords can only be used inside the CashFlow related iterators, as in the example shown below.

<!--calypso>

iterator ( "CashFlow" )

   inline "

<tr>

   <td>|CASHFLOW_START_DATE|</td>

   <td>|CASHFLOW_END_DATE|</td>

   <td>|CASHFLOW_RATE|</td>

</tr>

   ";

</calypso-->

Compounding Cashflows

CASHFLOW_PERIOD_BEGINNING

NOTIONAL_REDUCTION

Sample

You can also find a sample usage under Trade Flows in resources/com/calypso/templates/tradeticket.html.

More iterators are also available.

See Conditional Keywords for details.

Libor fallback cashflows:

CASHFLOW_IS_FALLBACK_APPLIED = true if the cashflow uses the libor fallback method

Fallback observation date

Fallback publication date

Fallback original reset date

Underlying Future First Delivery Date

Underlying Future Last Delivery Date

Includes details from compound periods.

Cash settlement defined - Yes or No.

Cash settlement Bermudan exercise dates.

Cash settlement Bermudan frequency.

Cash settlement Bermudan start date.

Cash settlement Bermudan holidays.

Cash settlement Bermudan end date.

Cash settlement exercise time.

Cash settlement - Exercise days lag.

Cash settlement - True for business days, and False for calendar days.

Cash settlement exercise date convention.

Cash settlement exercise holidays.

Cash settlement expiration time.

Cash settlement method.

Cash settlement - Optional or Mandatory indicator.

Cash settlement option style.

Cash settlement payment days lag.

Cash settlement - Payment currency 1.

Cash settlement - Payment currency 2.

Cash settlement payment date.

Cash settlement payment holidays.

Cash settlement quote type.

Cash settlement rate description.

Cash settlement rate index.

Cash settlement exercise days lag.

Cash settlement - Valuation date.

Cash settlement - Valuation time.

HTML table listing the Settlement Instructions of the Counterparty.

For a transfer, ISO Code of the receiver's country.

Otherwise, ISO code of the trade counterparty's country.

HTML table of counterparty ratings.

Rating agency, Rating value.

Amount of fee "EXERCISE_FEE" for an option-based trade.

Average yield/price of inflation lock.

Date of fee "EXERCISE_FEE" for an option-based trade.

Currency of fee "EXERCISE_FEE" for an option-based trade.

FEE keywords can only be used inside the Fee iterators.

Provides the FEE keywords for the NOVATION_FEE.

Examples: |FEE_AMOUNT#NOVATION_FEE|, |FEE_CURRENCY#NOVATION_FEE|

Provides the FEE keywords for the TERMINATION_FEE.

Examples: |FEE_AMOUNT#TERMINATION_FEE|, |FEE_DATE#TERMINATION_FEE|

Displays an image which location is defined in the domain "MESSAGE_IMAGE" or in the Image Repository.

See Images Storage for details.

SCHEDULE keywords can only be used inside the Schedule iterator, as in the examples shown below.

HAS_SCHEDULE takes some parameters to specify which schedule the template wants to export (type of leg and type of schedule). The parameters should be separated by #.

HAS_SCHEDULE#RECEIVELEG#RATE

The same parameters can be used on the “Schedule” iterator.

Rate Schedule example:

<!--calypso>

if ( |HAS_SCHEDULE#PAYLEG#RATE| != "No" ){

inline "<p>Rate Schedule</p>";

inline "<table>";

iterator("Schedule#PAYLEG#RATE") {

inline "

<tr>

<td>Date:</td><td>|SCHEDULE_DATE|</td>

<td>Value:</td><td>|SCHEDULE_VALUE|</td>

</tr>";

}

inline "</table>";

}

</calypso-->

Spread Schedule example:

<!--calypso>

if ( |HAS_SCHEDULE#PAYLEG#SPREAD| != "No" ){

inline "<p>Spread Schedule</p>";

inline "<table>";

iterator("Schedule#PAYLEG#SPREAD") {

inline "

<tr>

<td>Date:</td><td>|SCHEDULE_DATE|</td>

<td>Value:</td><td>|SCHEDULE_VALUE|</td>

</tr>";

}

inline "</table>";

}

</calypso-->

Nominal to increase. Displayed in absolute value (only for Seclending).

Quantity to increase. Displayed in absolute value (only for Seclending).

INTEREST keywords can only be used inside the InterestEntries iterator, as in the example shown below. These keywords allow displaying information for interest entries generated on call accounts.

<!--calypso>

iterator ( "InterestEntries" )

   inline "

<tr>

   <td>|INTEREST_AMOUNT|</td>

   <td>|INTEREST_DATE|</td>

</tr>

   ";

</calypso-->

You can also find a sample usage in resources/com/calypso/templates/CallAccountStatement.html.

INTEREST_RATE is the rate index displayed as “<currency>-<index name>-<index source>” by default. If the rate index attribute “RATE_INDEX_CODE.<source>” is set, its value is used instead.

Displays a table of interest bearing entries for Interest Bearing trades:

VALUE DATE

TYPE

INTEREST AMOUNT

INTEREST RATE

SPREAD

FINAL RATE

INTEREST TOTAL

POSITION CHANGE

INTEREST POSITION

Displays a table of interest rate change transfers for interest bearing trades.

VALUE DATE

DETAILS

Used to determine whether or not to include 'top-level' HTML tags. For example:

<!--calypso>

if (|IS_TOP_LEVEL| == "true") {

    inline "<html>";

    inline "<head><title>Bugzilla Test</title></head>";

}

</calypso-->

Can be used in conjunction with STACK_DEPTH.

Can be used within any iterator to give the number of items in the iterator.

Trade Keyword Value.

Note that you should not use termination keywords in order to display the dates with proper formatting. The keyword KEYWORD_TerminationDate should be replaced by LONG_TERMINATION_DATE, and the keyword KEYWORD_TerminationTradeDate should be replaced by LONG_TERMINATION_TRADE_DATE, in order to be displayed with proper formatting.

Legal agreement.

Legal entity attribute.

Legal Agreement type.

Legal Jurisdiction.

Legal Agreement.

la.getLegalAgreementStatus()

la.getAgreementDate()

LegalAgreement la =getLegalAgreement(dsCon, trade)

la.getReferenceNumber()

Termination effective date.

Termination trade date.

LegalEntity po = BOCache.getProcessingOrg(dsCon,trade.getBook())

LegalAgreement leAgr =

dsCon.getRemoteReferenceData().getLegalAgreement(po.getCode(),

trade.getCounterParty().getCode(),trade.getProductFamily(),

trade.getProductType())leAgr.getLegalAgreementType()

leAgr.getAgreementDate()

if (message.getAction().equals(Action.CANCEL))

   return "cancel"

if (message.getAction().equals(Action.AMEND))

   return "amend"

   return "confirm"

message.getAddressMethod()

message.getCreationDate()

Message effective date.

message.getEventType()

message.getGateway()

message.getId()

message.getLanguage()

message.getLinkedId()

le.getCode()

message.getReceiverAddressCode()

message.getReceiverContactType()

message.getReceiverRole()

message.getTransferId()

LegalEntity le = BOCache.getLegalEntity(dsCon,message.getSenderId())

le.getCode()

message.getSenderAddressCode()

message.getSenderContactType()

message.getSenderRole()

message.getStatus().toString()

message.getSubAction().toString()

message.getSubStatus().toString()

message.getTemplateName()

message.getTradeId()

message.getTradeUpdateDatetime()

message.getTransferId()

message.getMessageType()

Value of the comment specified for the message type in the domain “messageType”.

Displays a table of all the products involved in the netting in the following form: Product type - Trade id - Transfer Type - Currency - Amount Paid - Amount Received - Total Amount to be paid or received by PO.

Strike of an option-based trade.

Exercise date of an option-based trade.

"Partial exercise" or "Full exercise" for an option-based trade.

PO_HAS_PARENT - Returns Yes if PO of the trade has a Parent PO, or No otherwise.

The following message keywords display the information of the parent PO:

TRADE_SELLER_NAME#PARENT

TRADE_BUYER_NAME#PARENT

TRADE_PROCESSING_ORGANIZATION#PARENT

FIX_PAYER_CODE#PARENT

FLT_PAYER_CODE#PARENT

PAYLEG_PAYER_CODE#PARENT

RECEIVELEG_PAYER_CODE#PARENT

SENDER_FULL_NAME#PARENT

RECEIVER_FULL_NAME#PARENT

parentRec.getMailingAddress()

parentRec.getSwift()

parentRec.getTitle()

LEContact parentRec = findParentReceiverContact(message,trade,sender,rec,transferRules,transfer,

     dsCon)parentRec.getContactName()

parentRec.getFax()

parentRec.getZipCode()

parentRec.getTelex()

parentRec.getEmailAddress()

parentRec.getState()

parentRec.getFax()

parentRec.getCountry()

LEContact parentSender =findParentSenderContact( message,

   trade,sender,rec,transferRules,transfer,dsCon)

   parentSender.getContactName()

parentSender.getTitle()

parentSender.getMailingAddress()

parentSender.getEmailAddress()

parentSender.getFax()

parentSender.getTelex()

parentSender.getPhone()

parentSender.getState()

parentSender.getSwift()

parentSender.getCountry()

parentSender.getComment()

parentSender.getCityName()

parentSender.getZipCode()

trade.getProductID()

trade.getProductType()

trade.getProductFamily()

trade.getProduct().getEnteredDatetime()

trade.getProduct().getEnteredUser()

trade.getProduct().getComment()

trade.getProduct().getProductClass()

trade.getProduct().getCurrency()

trade.getProduct().getDescription()

trade.getProduct().hasSecondaryMarket()

trade.getProduct().getQuoteName()

Math.abs(trade.getProduct().calcSettlementAmount(trade))

trade.getProduct().getSecCode("ISIN")

For CDS trades, it retrieves the ISIN code of the reference obligation.

trade.getProduct().getSecCode("CUSIP")

For CDS trades, it retrieves the CUSIP code of the reference obligation.

Not implemented - Use SECCODE_<code name> instead.

Not implemented.

Math.abs(trade.getProduct().getPrincipal())

trade.getProduct().getCustomFlowsB()

trade.getProduct().getMaturityDate()

HTML table listing the Settlement Instructions of the Processing Org.

for trade.getFees

    // if PREMIUM

     fee.getDate()

for trade.getFees

    // if PREMIUM

      fee.getCurrency()

for trade.getFees

  // if PREMIUM

     Math.abs(fee.getAmount())

HTML table listing rate resets. Shows Ccy, Name, Tenor, Source, Date, Rate, Rebase Effective Date, Rebase Factor, Rebase Entered Date

HTML table listing all reset flows. Shows Type, Start Date, End Date, Days, Daycount, Rate, Spread, Rate Index, Payment Date, Notional, Ccy and Amount.

HTML table listing payment flows.

HTML table listing interest flows from rate resets and the settlement instructions for each.

Money to receive. Displayed in absolute value (only for Sec Vs Cash).

rec.getId()

rec.getLegalEntityId()

rec.getLegalEntityRole()

rec.getContactType()

rec.getContactName()

rec.getTitle()

If null return PARENT_RECEIVER_TITLE

rec.getMailingAddress()

rec.getEmailAddress()

If null return PARENT_RECEIVER_EMAIL

rec.getFax()

If null return PARENT_RECEIVER_FAX

rec.getTelex()

If null return PARENT_RECEIVER_TELEX

rec.getPhone()

If null return PARENT_RECEIVER_PHONE

rec.getSwift()

If null return PARENT_RECEIVER_SWIFT

rec.getComment()

le.getName()

LegalEntity le = BOCache.getLegalEntity(dsCon,rec.getLegalEntityId())

   le.getName()

rec.getCityName()

If null return PARENT_RECEIVER_CITY

Displays the SIGNATURE of the receiver or sender respectively.

The signature can be set for each contact on the contact attribute SIGNATURE (provided it is available in the domain "addressMethod"). You can define the possible values in the domain “addressMethod.SIGNATURE”.

The value of the SIGNATURE should be a link to an image file using:

See Images Storage for details on storing images.

In the latter case, the content of the image will be embedded in the advice document using a base64 data URL. This allows having the image attached inside the document instead of externally linked. It may not be supported by all web browsers as well as by certain HTML to PDF conversion libraries.

You can then use the message keywords SENDER_SIGNATURE and RECEIVER_SIGNATURE to display the SIGNATURE in a message:

<img src="|SENDER_SIGNATURE|"/>

rec.getZipCode()

If null return PARENT_RECEIVER_ZIPCODE

rec.getZipCode()

Registration Details Attribute

rec.getZipCode()

Trade Legal entity role

rec.getState()

If null return PARENT_RECEIVER_STATE

rec.getCountry()

If null return PARENT_RECEIVER_COUNTRY

Original trade on which full termination was applied, remaining amount = 0.00.

Original trade on which partial termination or novation was applied, remaining amount = new trade amount (n/a if new trade from novation was not created).

Newly created trade from partial termination or novation, remaining amount = this amount.

Information about novation remaining party.

Report columns from the Message report can be used as message keywords with syntax |REPORT#<column name>|.

Examples:

|REPORT#Exercise Settlement Date|

|REPORT#Exercise Settlement Offset|

Where "Exercise Settlement Date" / "Exercise Settlement Offset" is the report column name.

Available column names are listed under Message Report > Data > Configure Columns.

HTML table of specific resets.

Rerate date, Rerate rate.

HTML table of rerate flows.

Type, Start Date, End Date, Days, DayCount, Fixed Avg.Rate, Payment Date, Notional, Ccy, Amount.

Money to return. Displayed in absolute value (only for Sec Vs Cash)

Clean Up type (partial or full)

Nominal to return. Displayed in absolute value.

Quantity to return. Displayed in absolute value.

rec.getZipCode()

Settlement delivery instructions attribute.

Security code <security code name>.

trade.getSettleDate()

LegalEntity le = BOCache.getLegalEntity(dsCon,sender.getLegalEntityId())

   le.getName()

le.getName()

sender.getId()

sender.getLegalEntityId()

sender.getLegalEntityRole()

sender.getContactType()

sender.getContactName()

sender.getTitle()

If null return PARENT_SENDER_TITLE

sender.getMailingAddress()

If null return PARENT_SENDER_ADDRESS

sender.getEmailAddress()

If null return PARENT_SENDER_EMAIL

sender.getFax()

If null return PARENT_SENDER_FAX

sender.getTelex()

If null return PARENT_SENDER_TELEX

sender.getPhone()

If null return PARENT_SENDER_PHONE

sender.getSwift()

If null return PARENT_SENDER_SWIFT

sender.getComment()

sender.getCityName()

If null return PARENT_SENDER_CITY

sender.getZipCode()

If null return PARENT_SENDER_ZIPCODE

sender.getState()

If null return PARENT_SENDER_STATE

sender.getCountry()

If null return PARENT_SENDER_COUNTRY

HTML table of settlement instructions.

SETTLEMENT keywords can only be used inside the AdviceTransferRules iterator or TransferRules iterator.

For the following message keywords, you can use the suffix #INTERNAL for PO SDIs and #EXTERNAL for CP SDIs:

SETTLEMENT_TO_SDI_TYPE

SETTLEMENT_TO_AGENT

SETTLEMENT_METHOD

SETTLEMENT_FAVOR_OF

SETTLEMENT_ACCOUNT_NUMBER

SETTLEMENT_TO_INTERMEDIARY

SETTLEMENT_TO_METHOD_INTERMEDIARY

SETTLEMENT_TO_INTERMEDIARY2

SETTLEMENT_TO_METHOD_INTERMEDIARY2

SETTLEMENT_ROUTING

Example: SETTLEMENT_METHOD#INTERNAL gives the settlement method of the PO SDI and SETTLEMENT_METHOD#EXTERNAL gives the settlement method of the CP SDI.

These message keywords can only be used inside the TransferRules iterator. They allow retrieving transfer rules information for both standard SDIs and manual SDIs.

Standard SDIs

SETTLEMENT_CTPY_BENE_* - Counterparty SDI beneficiary long name, <address method> value, identifier

SETTLEMENT_CTPY_AGENT_* - Counterparty SDI agent long name, <address method> value, identifier, account

SETTLEMENT_CTPY_INT_* - Counterparty SDI intermediary long name, <address method> value, identifier, account

SETTLEMENT_CTPY_INT2_* - Counterparty SDI intermediary2 long name, <address method> value, identifier, account

SETTLEMENT_CTPY_OI_* - Not applicable

Manual SDIs

For manual SDIs, the *_ACCOUNT message keyword is empty and only the SWIFT address method applies.

SETTLEMENT_CTPY_BENE_* - Counterparty manual SDI beneficiary long name, SWIFT value, identifier

SETTLEMENT_CTPY_AGENT_* - Counterparty manual SDI agent long name, SWIFT value, identifier, identifier

SETTLEMENT_CTPY_INT_* - Counterparty manual SDI intermediary long name, SWIFT value, identifier

SETTLEMENT_CTPY_INT2_* - Counterparty manual SDI intermediary2 long name, SWIFT value, identifier

SETTLEMENT_CTPY_OI_* - Counterparty manual SDI ordering customer, name, SWIFT value, identifier

Displays the LOGO of the sender.

The logo can be set for each contact on the contact attribute LOGO (provided it is available in the domain “addressMethod”). You can define the possible values in the domain “addressMethod.LOGO”.

The value of the LOGO should be a link to an image file using:

See Images Storage for details on storing images.

In the latter case, the content of the image will be embedded in the advice document using a base64 data URL. This allows having the image attached inside the document instead of externally linked.

It may not be supported by all web browsers as well as by certain HTML to PDF conversion libraries.

You can then use the message keywords SENDER_LOGO to display the LOGO in a message:

<img src="|SENDER_LOGO|"/>

Returns directly the parse depth. For a top level document, the value will be "0". If document1.html includes document2.html, while parsing document2.html, the stack depth is "1".

Can be used in conjunction with IS_TOP_LEVEL.

Amount when trade terminated.

Original trade on which full termination or novation was applied, terminated amount = original amount.

Original trade on which partial termination was applied, terminated amount = original amount - new trade amount.

On the newly created trade from novation, terminated amount = this amount.

On the newly created trade from partial termination, termination amount = old trade amount - this amount.

Terminated quantity.

Initial Notional or Quantity before termination.

Remaining Notional or Quantity after termination.

Termination Notional or Quantity after termination.

Trade Action

HTML table of audit information.

Date (TRADE_AUDIT_DATE), Field (TRADE_AUDIT_FIELD), Old Value (TRADE_AUDIT_OLD_VALUE), New Value (TRADE_AUDIT_NEW_VALUE), User (TRADE_AUDIT_USER).

trade.getTradeDate()

HTML table of trade cashflows.

Start Date, End Date, Date, Reset Date, Day Count, Days, Rate, Spread, Amount, Currency, Notional, Type.

You can also create your own cashflows table using the "CASHFLOW_" keywords.

trade.getId()

trade.getTradeDate()

Trade date time in book timezone.

trade.getAccrual()

Long name of the counterparty of the trade.

BOCache.getProcessingOrg(dsCon,trade.getBook())

Math.abs(trade.getQuantity())

Math.abs(trade.getTradePrice())

Math.abs(trade.getNegociatedPrice())

trade.getNegociatedPriceType()

trade.getTradeCurrency()

trade.getSettleCurrency()

trade.getEnteredDate()

trade.getEnteredUser()

trade.getComment()

trade.getBook().getName()

trade.getTraderName()

trade.getCounterParty().getCode()

trade.getStatus.toString()

TRADE_STATUS shows the status of the previous version of the trade when subaction = CANCEL.

TRADE_STATUS2 shows the status of the current version of the trade when subaction = CANCEL.

BOCache.getLegalEntityCode(dsCon,trade.getExchangeId())

Trade Market Type.

trade.getUpdatedTime()

if (trade.getBundle() != null)

   return String.valueOf(trade.getBundle().getId())

else

   return "0"

You can also use the TradeBundleTrades iterator to iterate over all the trades in a bundle.

Math.abs(trade.getProduct().calcSettlementAmount(trade))

Math.abs(trade.computeNominal())

LegalEntity po = BOCache.getProcessingOrg(dsCon,trade.getBook())

if (trade.getQuantity() > 0)

   return po.getName();

else

   return trade.getCounterParty().getName()

LegalEntity po = BOCache.getProcessingOrg(dsCon,trade.getBook())

if (trade.getQuantity() < 0)

   return po.getName()

else

   return trade.getCounterParty().getName()

HTML table of trade's transfer rules.

Pay/receive, Transfer Type, Currency, Product Type, Payer, Payer Role, Payer SDI Name, Payer SDI Status, Payer Agent, Receive, Receiver Role, Receiver SDI Name, ReceiverSDI Status, Receiver Agent, Percent, Settle Ccy, Delivery Type, Netting Type.

trade.getInternalReference()

trade.getExternalReference()

Provides the TRADE keyword for the NOVATED_TRADE (trade resulting from a novation, termination, etc.).

Example |TRADE_CURRENCY#NOVATED_TRADE|

Provides the TRADE keyword for the PARENT_TRADE (original trade of a novation, termination, etc.).

Example |TRADE_CURRENCY#PARENT_TRADE|

Trade bundle attributes.

You can also use the TradeBundleTrades iterator to iterate over all the trades in a bundle.

DIVIDEND keywords can only be used inside the DividendDetail iterator, as in the examples shown below.

TRANSFER_CONTAINS_DIVIDEND determines whether the transfer is associated with dividends.

<!--calypso>

If (|TRANSFER_CONTAINS_DIVIDEND| == "Yes") {

inline "<p class=header2>Dividend Details</p>";

inline "

<table>

iterator ( "DividendDetail" ) {

inline "

<tr>

<td>|DIVIDEND_COMP_EX_DIV_DATE|</td>

<td>|DIVIDEND_COMP_EQUITY_NAME|</td>

<td>|DIVIDEND_COMP_EQUITY_QTY|</td>

<td>|DIVIDEND_COMP_DIVIDEND_PER_SHARE|</td>

<td>|DIVIDEND_COMP_TOTAL_DIVIDEND|</td>";

}

inline "</table>";

}

</calypso-->

transfer.getId()

transfer.getEventType()

transfer.getTradeId()

transfer.getProductId()

transfer.getProductFamily()

transfer.getProductType()

transfer.getStatus().toString()

transfer.getTransferType()

Math.abs(transfer.getSettlementAmount())

transfer.getSettlementCurrency()

transfer.getTradeCurrency()

if (transfer.getPayReceive().equals(BOProductHandler.PAY))

    return "pay"

if(transfer.getPayReceive().equals(BOProductHandler.RECEIVE))

    return "receive"

if (transfer.getSettlementAmount() > 0)

    return "receive"

else

    return "pay"

transfer.getValueDate()

transfer.getSettleDate()

LegalEntity le =

   BOCache.getLegalEntity(dsCon,transfer.getExternalLegalEntityId())

   le.getCode()

transfer.getExternalRole()

 transfer.getExternalSettleDeliveryId()

Transfer Manual Settlement Delivery Instruction Id

LegalEntity le =

   BOCache.getLegalEntity(dsCon,transfer.getExternalAgentId())

   le.getCode()

transfer.getInternalSettleDeliveryId()

LegalEntity le =

   BOCache.getLegalEntity(dsCon,transfer.getInternalAgentId())

   le.getCode()

Accountacc =

  dsCon.getRemoteAccounting().getAccount(transfer.getGLAccountNumber())

  if (acc != null) return acc.getName()

  else return "SUSPENSE"

transfer.getNettingType()

transfer.getDeliveryType()

transfer.getOtherAmount()

Book book = BOCache.getBook(dsCon,transfer.getBookId())

   return book.getName()

transfer.getAvailableB()

transfer.getTradeDate()

transfer.getNettedTransfer()

transfer.getNettedTransferId()

transfer.getBundleId()

HTML table containing the transfer's settlement instructions.

HTML table listing all the payments and security transfers. Shows TradeId, Description, Type, Ccy and Amount.

Displays the fixed payment / receipt inside the TransferDetails iterator.

Displays the floating payment / receipt inside the TransferDetails iterator.

Information about novation transferee.

Information about novation transferor.

UTI_ISSUER and USI_ISSUER allow retrieving the content of the trade keywords UTIIssuer and USIIssuer respectively, located after the “|” character.

Example: If trade keyword UTIIssuer = TES|1234567, message keyword UTI_ISSUER = 1234567.

ISSUER_CODE allows retrieving the value of trade keywords UTI/Issuer and USI/USIIssuer.

The reporting jurisdiction is ESMA if UTIIssuer is set, or CFTC if USIIssuer is set.

The transaction identifier allows retrieving the value of trade keywords UTI/TradeId and USI/USITradeId.

ID of billing trade.

Trade date of billing trade.

Value date of billing trade.

Settle date of billing trade.

Settlement amount of billing trade.

Nominal amount of billing trade.

Product description of billing trade.

ISIN code of product in billing trade.

Settlement method of billing trade.

Settlement currency of failed transfer.

Settlement amount of failed transfer.

PO settlement instructions of billing trade.

Failed days.

Rate.

Daycount.

Matching reason.

Call account ID.

Call account name.

Call account description.

Call account legal entity short name.

Call account legal entity full name.

True for a call account, or false otherwise.

Call account type.

Call account subtype.

Call account currency.

Call account creation date.

Call account status.

Call account active start date.

Call account active end date.

Calculation date rule of account interest associated with call account.

Payment date rule of account interest associated with call account.

Daycount of account interest associated with call account.

Rounding method of account interest associated with call account.

Debit rate type of account interest associated with call account: fixed or float.

Credit rate type of account interest associated with call account: fixed or float.

Debit rate of account interest associated with call account: fixed or float.

Credit rate of account interest associated with call account: fixed or float.

Remittance method (e.g. Demand Draft, Mail Transfer, Telegraphic Transfer).

Name of beneficiary.

Beneficiary's settlement instructions.

PO's settlement instructions.

Type of settlement.

Payment method.

ID of related FX trade.

FX reset type.

FX rate.

Settlement currency.

Customer account number.

Commission account number.

Charge burden (Payer or Sender).

Type of fee exemption.

Principal amount.

Hedge Relationship name.

Hedge Relationship ID.

Hedge Relationship comment.

Hedge Definition name.

Hedge Definition type.

Type of risk being hedged.

Description from Hedge Definition.

Prospective method for hedge effectiveness testing from Hedge Definition.

Description from Hedge Effectiveness Testing Parameters for prospective method.

Retrospective method for hedge effectiveness testing from Hedge Definition.

Description from Hedge Effectiveness Testing Parameters for retrospective method.

Yes or No.

List of hedged trades in the relationship.

List of hedging trades in the relationship.

Processing org.

Relationship Type from Hedge Definition

Through the HedgeRelationshipTradeItems iterator.

Trade ID

Product type

Hedge Ratio

Ratio type

Pricer measure

Start date

End date

Status

Counterparty

Notional

Open Nominal

Original Nominal

Credit Spread

Trade Type - Hedged or Hedging

Value of interest bearing attribute RATE_CHANGE_VALUE.

Value of interest bearing attribute RATE_CHANGE_NAME.

ACTUAL back office position on SETTLE_DATE.

Principal amount.

Currency of the transaction.

True or False.

Allowance type.

Product currency.

Quoting unit.

Option style for commodity options.

Product name.

Start date.

End date.

Commodity name.

Notional Quantity per Calculation Period.

Returns a text based on the payment frequency and frequency.

See Commodity Calculation Periods for details.

Date roll convention.

Payment holiday calendar.

Fixed price payer - Legal entity short name.

Float price payer - Legal entity short name.

Floating Price Payer(Float/Float Swap) - Legal entity short name.

Floating Price Payer(Float/Float Swap) - Legal entity short name.

Strike.

Strike price for commodity options.

Commodity reset attribute "COMMODITY_REFERENCE_PRICE".

Price source.

Commodity reset attribute on the pay leg "PAYLEG_COMMODITY_REFERENCE_PRICE".

Commodity reset attribute on the receive leg "RECEIVELEG_COMMODITY_REFERENCE_PRICE".

Commodity reset attribute "COMMODITY_DELIVERY_DATE".

Returns a text based on the payment frequency and fixing policy.

See Commodity Pricing Dates for details.

Returns a text based on the payment frequency and fixing policy for the pay leg.

See Commodity Pricing Dates for details.

Returns a text based on the payment frequency and fixing policy for the receive leg.

See Commodity Pricing Dates for details.

Trade keyword "FALLBACK_REFERENCE_PRICE".

Comma-separated list of keywords that are marked applicable in Commodity Swap Trade under "Menu Commodity Swap 2 > Commodity Confirm Keywords" - "Market Disruption Events".

Trade keywords "COMMODITY_ADDITIONAL_MARKET_DISRUPTION_EVENTS".

Comma-separated list of keywords that are marked applicable in Commodity Swap Trade under "Menu Commodity Swap 2 > Commodity Confirm Keywords" - "Disruption Fallbacks".

Conversion provision.

Expiry time for commodity option.

Expiry timezone for commodity option.

True or False.

True or False.

True or False.

Total quantity.

Final payment date.

Commodity forward.

Unadjusted price.

Quantity.

Delivery date.

Compliance period.

True or False.

Total notional quantity.

Index payer.

Interest payer.

Start index level.

Premium fee rate.

Rate index displayed as “<currency>-<index name>-<index source>” by default. If the rate index attribute “RATE_INDEX_CODE.<source>” is set, its value is used instead.

Rate index tenor.

Commodity spot.

Product name.

Quantity.

Price.

Settlement amount.

Payment date.

Delivery date.

Vintage year.

“Strike price for CALL.

Strike price for PUT.

True or false.

“CALL” option type.

“PUT” option type.

Commodity option.

FX conversion - FX rate rounding number of decimals.

FX conversion - Price rounding number of decimals.

Commodity swap.

Product name.

True or False.

Total notional quantity.

Payleg notional quantity.

Receive leg notional quantity.

Fixed leg coupon frequency.

Fixed leg roll day.

Fixed leg first payment date.

Fixed leg coupon date roll.

Floating leg payment lag.

Fixed leg rate.

Payer code on pay leg.

Receiver code on pay leg.

Floating leg type.

Future contract on floating leg.

Forward price method on floating leg.

Fixing calendar on floating leg.

Spread on floating leg.

Fixed leg type.

Spread on pay floating leg.

Spread on receive floating leg.

Quoting unit on fixed leg.

Payment frequency.

Fixing policy.

First delivery date.

Last delivery date.

Notional Quantity per Calculation Period on pay leg.

Notional Quantity per Calculation Period on receive leg.

Payment calendar.

Payment period.

Roll day.

Payment lag.

Calculation period on pay leg.

Calculation period on receive leg.

True or False.

True or False.

True or False.

True or False.

True or False.

True or False.

Settlement dates.

Settlement dates on pay leg.

Settlement dates on receive leg.

FX conversion - FX rate rounding number of decimals.

FX conversion - Price rounding number of decimals.

Direction of the cds deal: buy or sell credit protection.

Start date of the cds deal.

Settlement type, such as cash, physical, etc.

Reference issuer and seniority.

HTML table of all available credit ratings for reference entity.

Termination events specified for this cds deal.

Frequency of premium payments.

Fixed rate of premium payments.

Notional amount.

The party responsible for determining actions as detailed in Section 1.14 of the ISDA Credit Derivatives Definitions.

The city in which the office of the Calculation Agent is located.

RED_PAIR attribute on the issuer LE.

The name of the Seller.

The name of the Buyer.

Fixed leg payment holidays.

Floating leg payment holidays.

Fixed leg payment frequency.

Fixed leg payment date roll.

Fixed rate.

Fixed leg day count fraction.

Fixed leg roll day.

Fixed leg first payment date.

Party responsible for delivering a Credit Event Notice.

Cash, Physical, or Customer Option Settlement.

Notice of Publicly Available Information.

Applicable or not.

Source of Publicly Available Information.

The number of Pubic Sources providing Publicly Available Information.

Seniority of Reference Entity.

Issuer of the Underlying.

ISIN security code value.

CUSIP security code value.

Description of the Issuer.

Industry associated with the Issuer.

Rating of the Issuer.

Obligation specified in the confirmation.

Each obligation specified in the confirmation.

Ticker symbol for Issuer.

One or more of events such as Bankruptcy, Failure to Pay, Obligation Acceleration, Obligation Default, Repudiation/Moratorium or Restructuring.

Bankruptcy type.

Failure to pay type.

Applicable or not.

Grace period.

Payment amount.

Text.

Repudiation or Moratorium.

Restructuring type.

Applicable or not.

Applicable or not.

Default amount.

Obligation category.

One or more of characteristics such as Listed, Not Contingent, Not Domestic Currency, Not Domestic Issuance, Not Domestic law, Not Sovereign Lender, Not Subordinated, Pari Passu, or Specified Currency.

An obligation that is convertible into Equity Securities.

Supplement will be produced when there is the occurrence of one or more of: a reduction in the rate or amount of interest, a reduction in he amount of principal or premium, a postponement of dates, a change in ranking priority of a payment, any change in currency.

A supplement will be issued when an event such as a merger, consolidation, amalgamation, transfer of assets or liabilities, spin-off occurs.

Only used with the 1998 ISDA Credit Derivative Definitions.

1998, 1999, or 2003 ISDA Credit Derivative Definitions.

Auction, Cash, Physical, or Customer Option Settlement.

Holidays applicable to Settlement.

Either Par Minus Recovery or Initial Minus Recovery.

Settlement Lag.

One of Bond, Bond_or_Loan, Borrowed Money, Loan, Payment, or Reference Obligation.

One or more of the list of Obligation deliverable characteristics.

Accrued Interest to be determined by the Calculation Agent.

Applicable or not.

Cash settlement of loans to be determined by the Calculation Agent.

Cash settlement of assignable loans to be determined by the Calculation Agent.

Cash settlement of participations to be determined by the Calculation Agent.

Physical settlement to take place through the use of an Escrow Agent.

The number of business days required after satisfaction of all Conditions to Settlement.

The number of business days specified in the VAL_DATE_LAG and each successive date after the date on which the Calculation Agent obtains a Market Value.

The total number of Valuation Dates.

11:00am in the principal trading market for the reference obligation.

Time zone for the valuation date.

Either Highest or Market.

Bid.

Currency of the quotation amount.

An amount calculated by the Calculation Agent.

Currency of the quotation amount.

The lower of USD 1,000,000 and the quotation amount.

Accrued Interest to be determined by the Calculation Agent.

Applicable or not.

Institutions responsible for providing quotes.

Settlement currency.

Description text.

Text.

Issuer's RED_PAIR attribute.

Applicable or not.

Excluded obligations.

Delivery excluded obligations.

Amortizing schedules of floating leg.

Calculation Period(s) Beginning, Notional Amount, Notional Reduction from Previous Calculation Period(s).

Underlying asset.

Guarantor of asset swap.

Price.

Yield.

Dirty Price.

Notional Amount.

Currency.

Settlement Date.

Accrual percentage.

Accrual amount.

Coupon date.

Coupon amount.

Payer of fixed leg.

Payer of floating leg.

Coupon frequency of floating leg.

Date roll of floating leg.

Roll day of floating leg.

First reset date of floating leg.

First payment date of floating leg.

Index rate of floating leg.

Index tenor of floating leg.

Spread of floating leg.

Daycount of floating leg.

Determined rate of floating leg.

Compound frequency of floating leg.

Notional of underlying swap.

Start date.

Issuer.

Guarantor.

ISIN security code value.

BLOOMBERG security code value.

Applicable or not, based on "Reference Policy" security code.

ABS bond maturity date.

ABS bond total issued.

Initial face nominal * initial factor.

Trade date notional.

Initial factor.

ABS bond currency + rate index name + rate index source.

Calculation agent.

City of calculation agent.

Reference price.

Applicable or not.

Applicable or not.

Applicable or not.

Fee amount.

Counterparty or processing org.

Counterparty or processing org.

Premium fixed rate.

Payment dates text 1 for Commercial Home Equity Loans.

Payment dates text 2 Commercial Home Equity Loans.

Rating text.

Fixed amount text.

Applicable or not.

Applicable or not.

Cap type.

Applicable or not.

Interest shortfall text.

Cumulative interest shortfall payment text.

Cumulative interest shortfall text.

Currency + rate index name + source.

Total issued * trade factor.

(Notional / total issued) * 100

Principal shortfall amount on start date.

Cashflow principal amount shortfall amount.

Expected principal amount.

Actual principal amount.

Writedown shortfall amount on start date.

Cashflow writedown amount shortfall amount.

Interest shortfall amount.

Cashflow interest amount shortfall amount.

Expected interest amount.

Actual interest amount

Index series and version.

Annex date.

Maturity date.

Counterparty or processing org.

Counterparty or processing org.

Notional.

Premium fixed rate.

First payment date per the trade cash flows.

Initial payment payer.

Initial payment amount – upfront fee.

Start date.

Initial factor.

Principal shortfall.

Interest shortfall.

Writedown.

Settlement date.

CDS index name.

Issuer of the CDS index.

Notional.

Index start date as defined in the index definition.

First payment beginning date per the trade cash flows.

First payment ending date per the trade cash flows.

First interest amount per the trade cash flows.

First payment date per the trade cash flows.

Payment frequency as defined in the index.

The start date shown on the trade screens.

Floating rate payer displayed as “<currency>-<index name>-<index source>” by default. If the rate index attribute “RATE_INDEX_CODE.<source>” is set, its value is used instead.

Fixed rate payer.

Initial payment payer.

Initial payment amount – upfront fee.

HTML table of reference entity, reference obligation, monoline provisions, and weighting.

Fixed rate.

The credit position of the applicable reference entity contained in the index.

Exhaustion point minus attachment point.

Original swap notional divided by tranche size.

Implicit portfolio size multiplied by attachment point.

Implicit portfolio size multiplied by 100% minus exhaustion point.

Scheduled termination date.

CDS Index name.

Issuer of the CDS Index.

Index start date as defined in the index definition.

First payment beginning date per the trade cash flows.

First payment ending date per the trade cash flows.

First interest amount per the trade cash flows.

First payment date per the trade cash flows.

Payment frequency as defined in the index.

The start date shown on the trade screens.

Notional value of the index.

Floating rate payer displayed as “<currency>-<index name>-<index source>” by default. If the rate index attribute “RATE_INDEX_CODE.<source>” is set, its value is used instead.

Fixed rate payer.

Attachment point.

 Exhaustion point.

Initial payment payer.

Initial payment amount.

Fixed rate.

The entity for the credit derivative transaction.

Participation percentage.

Lower end of the default range.

Upper end of the default range..

Current number of defaults.

Notional amount.

Start date of the transaction.

Currency of the initial payment.

Initial payment amount.

Initial payment date.

First payment date.

HTML table of portfolio schedule.

Issuer, Seniority, Size

The entity for the credit derivative transaction.

Participation percentage.

Lower end of the Portfolio/Tranche loss range.

Upper end of the Portfolio/Tranche loss range.

Lower end of the Portfolio/Tranche loss range in percentage.

Upper end of the Portfolio/Tranche loss range in percentage.

Notional amount.

Start date of the transaction.

Currency of the initial payment.

Initial payment amount.

Initial payment date.

First payment date.

HTML table of portfolio schedule.

Issuer, Seniority, Size

Right to Buy or Right to Sell.

American or European.

Start date of the swaption.

Expiry date of the swaption.

Delivery Date of the swaption.

Buy or Sell.

Reference asset description.

Reference asset name.

Reference asset notional.

Reference asset maturity date.

Performance amount payer.

Interest amount payer.

Coupon frequency.

Roll day.

First payment date.

Date roll.

Rate index.

Index tenor.

Index spread.

First reset date.

Interest daycount.

Legal agreement date.

Initial price.

Fix or Float.

Fixed rate.

Interest notional.

Currency.

Coupon holiday.

Pay or Receive.

Cap.

Floor.

Basket components.

Yes or No.

Quantity.

Yer or No.

Strike.

Retro %.

Underlying equity or basket components.

Basket components.

Basket components with strike.

Trade price.

Trade negotiated price.

Quantity.

Yes or No.

Forward price.

Strike.

Underlying equity or basket components.

Basket components.

Basket components with strike.

Exotic array variable name through the ExoticVariable iteraor.

Exotic array variable value through the ExoticVariable iteraor.

Automatic exercise indicator: true of false.

Premium settlement date.

Delivery date.

Option start date.

Displays the characteristics of the exotic structure.

It gives the rate formula: start date and actual formula, and the capital formula: start date and actual formula.

Option expiration date.

Option expiration time.

First potential exercise date for American options.

FIXING keywords can only be used inside the EquityStructuredOptionFixing iterator.

Notional.

Quantity.

American, European, or Bermudan.

PREVIOUS_FIXING keywords can only be used inside the EquityLastFixingPrice iterator.

They can be used for Equity Structured Options and Equity Linked Swaps.

Put or Call.

Premium factor.

Premium amount.

Premium date.

Underlying MarketPlace legal entity.

Underlying description.

Buyer: counterparty or processing org.

Seller: counterparty or processing org.

Observation period start date.

Observation period end date.

Volatility strike %.

Volatility notional.

Variance notional.

Variance strike.

Variance cap.

Annualization factor: number of days to compute annualized volatility.

Trade currency.

Notional currency.

Excluded fixing dates.

FX rate.

Underlying quote instance type.

Settlement date.

Settlement holidays.

List of specific resets.

Swap type.

Condition type: Upside, Downside, or Corridor.

Upper limit for Upside and Corridor.

Lower limit for Downside and Corridor.

Initial price on first observation date.

Yes or No.

Yes to include dividends, or No otherwise.

Number of observation days.

Payment currency.

Payment date.

Future price reference date.

Exotic array variable date through the ExoticVariable iteraor.

Exotic array variable name through the ExoticVariable iteraor.

Exotic array variable value through the ExoticVariable iteraor.

Exotic time series variable name through the UserDefinedTimeSeriesVariables iteraor.

Exotic time series variable type through the UserDefinedTimeSeriesVariables iteraor.

Exotic time series variable start date through the UserDefinedTimeSeriesVariables iteraor.

Exotic time series variable end date through the UserDefinedTimeSeriesVariables iteraor.

Exotic time series variable frequency through the UserDefinedTimeSeriesVariables iteraor.

Exotic time series variable holiday through the UserDefinedTimeSeriesVariables iteraor.

Exotic time series variable date roll through the UserDefinedTimeSeriesVariables iteraor.

Exotic time series variable formula through the UserDefinedTimeSeriesVariables iteraor.

Exotic time series variable sampling frequency through the UserDefinedTimeSeriesVariables iteraor.

Exotic time series variable averaging method through the UserDefinedTimeSeriesVariables iteraor.

Exotic time series variable reset cutoff through the UserDefinedTimeSeriesVariables iteraor.

Exotic time series variable reset holiday through the UserDefinedTimeSeriesVariables iteraor.

Exotic time series variable reset timing through the UserDefinedTimeSeriesVariables iteraor.

Displays the characteristics of the exotic structure.

It gives the coupon formula: start date and actual formula, and the capital formula: start date and actual formula.

Bond panel > Bond Type

Bond panel > Issuer

Bond panel > Country

Bond panel > Issue Date

Bond panel > Dated Date

Bond panel > Maturity Date

Bond panel > Issue Price

Bond panel > Currency

Bond panel > Redem. Price

Bond panel > Redem. Curr

Bond panel > Redem FX Rate

Bond panel > Total Issued

Bond panel > Face Value

Bond panel > Min. Purchase. Amt

Coupon panel > Fixed Rate > Daycount

Coupon panel > Ccy

Coupon panel > Holidays

Coupon panel > Payment Rule

Coupon panel > Frequency

Coupon panel > Roll Day

Coupon panel > Date Roll

Special panel > Flipper > Date

Coupon panel > Floating Rate > Daycount

Coupon panel > Floating Rate > Spread

Coupon panel > Floating Rate > Index

Coupon panel > Floating Rate > Reset Days

Coupon panel > Fixed Rate > Rate, or Coupon > Floating Rate > Index + Tenor

Coupon panel > Floating Rate > Rate Index Factor

Security Codes

Where <sec_code> is a security code defined under Bond > Codes. For example, CUSIP, Local, etc.

Note that <sec_code> is case sensitive.

BondCashFlow Iterator

CashFlows panel > Pmt Begin

BondCashFlow Iterator

CashFlows panel > Pmt End

BondCashFlow Iterator

CashFlows panel > Pmt Date

BondCashFlow Iterator

CashFlows panel > Notional

BondCallSchedule Iterator

Call Schedule panel > Option Type

BondCallSchedule Iterator

Call Schedule panel > Exercise Type

BondCallSchedule Iterator

Call Schedule panel > Redemption Date

BondCallSchedule Iterator

Call Schedule panel > Notif Date

BondCallSchedule Iterator

Call Schedule panel > Price

If callable, number of notice days.

Accrual on the Security as of the maturity date of the Repo (BSB repo only).

Forward clean price (BSB repo only).

Forward price (BSB repo only).

Haircut description.

COLL keywords can only be used inside the Collateral iterator.

Haircut type.

Collateral description.

Collateral ISIN code.

Current nominal.

Collateral value.

Repo interest.

Repo accrual.

Collateral description.

Repo end date.

Repo maturity date.

Repo principal.

Quantity of the collateral.

Repo rate.

Redemption amount.

Repo start date.

Code of buyer.

Code of seller.

Rate index spread.

if (trade.getQuantity() > 0)

    return ((FX)trade.getProduct()).getPrincipalCurrency()

  else

    return ((FX)trade.getProduct()).getQuotingCurrency()

if (trade.getQuantity() > 0)

    return trade.getQuantity(),2)

  else

    return trade.getTradePrice() * Math.abs( trade.getQuantity())

if (trade.getQuantity() > 0)

    return ((FX)trade.getProduct()).getQuotingCurrency()

  else
    return ((FX)trade.getProduct()).getPrincipalCurrency()

if (trade.getQuantity() < 0)

    return Math.abs(trade.getQuantity())

  else

    return trade.getTradePrice() * trade.getQuantity()

Math.abs(trade.getNegociatedPrice())

You can set the number of decimal places for rounding as |FX_NEGOCIATEDPRICE#ROUNDING8| if you want to have a rounding of 8 decimals for example. For 10 it would be #ROUNDING10.

trade.getNegociatedPriceType()

trade.getAlternateDate()) + " (" +

    ((FX)trade.getProduct()).getQuotingCurrency()+")"

Yes or No.

Flexi Forward schedule - Start date.

Flexi Forward schedule - End date.

Primary currency.

Primary notional.

Quoting currency.

Spot margins.

All-in points.

FX start rate.

1 if there is a split date, or 0 otherwise.

Table of the Flexi Forward schedule.

Termination buy amount.

Termination sell amount.

Outstanding buy amount.

Outstanding sell amount.

Rollover trade date.

Rollover effective date.

Rollover buy amount.

Rollover sell amounts.

Forward Rate in basis points.

Product Spot Rate.

Only applies to FX Forwards created from Flexi Forward Take-ups.

Outstanding buy amount of parent Flexi Forward.

Only applies to FX Forwards created from Flexi Forward Take-ups.

Buy currency of parent Flexi Forward.

Only applies to FX Forwards created from Flexi Forward Take-ups.

Outstanding sell amount of parent Flexi Forward.

Only applies to FX Forwards created from Flexi Forward Take-ups.

Sell currency of parent Flexi Forward.

Principal currency

Quoting currency

Settlement currency

Spot rate

Spot margin

Points

Forward margin

Final rate

FX Reset name

Fixing schedule start date

Fixing schedule end date

Fixing schedule frequency

Fixing schedule holidays

HTML table of FX Averaging Forward fixing schedule

If WEIGHT_BY_NOTIONAL = 1, FXAVG_FIXING_SETTLE_METHOD = By Individual Fixing

If WEIGHT_BY_NOTIONAL = 0, FXAVG_FIXING_SETTLE_METHOD = By Avg.Rate

Settlement amount in settlement currency (deliverable currency).

Settlement amount in non deliverable currency.

Non deliverable currency.

Name of FX Rate definition between the deliverable currency and the non-deliverable currency.

Source of FX Rate Definition.

Timezone of FX Rate Definition.

FX rate reset date.

Quote side of FX Rate Definition.

Reset days of FX Rate Definition.

Reset time of FX Rate Definition.

Reset price of the actual fixing for fixing confirmation.

Settlement amount for fixing confirmation.

Settlement currency (deliverable currency).

Timezone of the product’s settlement currency.

True if the processing organization pays the settlement amount, or false otherwise, for fixing confirmation.

Near of Far.

Near settlement currency.

Far settlement currency.

Near settlement currency timezone.

Far settlement currency timezone.

Name of near FX rate reset.

Name of far FX rate reset.

Near reset source.

Far reset source.

Near FX rate reset timezone.

Far FX rate reset timezone.

Near FX rate reset date.

Far FX rate reset date.

Near FX reset quote.

Far FX reset quote.

Near FX rate reset days.

Far FX rate reset days.

Near FX rate reset time.

Far FX rate reset time.

Near non deliverable currency.

Far non deliverable currency.

Near non-deliverable settlement amount.

Far non-deliverable settlement amount.

Near deliverable settlement amount.

Far deliverable settlement amount.

Near reset price.

Far reset price.

Near settlement amount.

Far settlement amount.

Near settlement date.

Far settlement date.

Near buyer: PO or counterparty.

Far buyer: PO or counterparty.

Near seller: PO or counterparty.

Far seller: PO or counterparty.

Near PO SDIs.

Far PO SDIS.

Near counterparty SDIs.

Far counterparty SDIs.

Near negotiated price.

Far negotiated price.

Near buy currency.

Far buy currency.

Near buy amount.

Far buy amount.

Near sell currency.

Far sell currency.

Near sell amount.

Far sell amount.

Near trade price.

Far trade price.

Option forward start date.

Outstanding buy amount.

Outstanding sell amount.

Spot settle date.

Forward settle date.

Split forward date, if any.

Forward Sell amount.

Forward Buy amount.

Forward Negotiated Rate.

Trade Id of Parent FX Option Forward.

Legal entity of role Calc_Agent.

Math.abs(fxOption.getStrike())

Strike rate of option.

Settlement Source or Observation Source.

You can define a mapping between the FX Rate Reset Source and the corresponding ISDA code using the domain "ISDA.FXRateSource".

Value = <FX Rate Reset Source> - Example: USDBRL

Comment = <ISDA code> - Example BRL09

The Comment can also contain the Time and Location.

Comment = <ISDA code>/<time>/<location> - Example HKD1/1400/HKHK

If the FX Rate Reset Source is present in the domain, the message keyword contains <Comment>, otherwise it contains <FX Rate Reset Source>.

If In Barrier, Down Knock-in value, else Down Knock-out value.

Barrier end date.

Barrier start date.

If In Barrier, Up Knock-in value, else Up Knock-out value.

Barrier Type property from Pricing Sheet.

if ( (fxOption.isPut() && !fxOption.isBuy()) ||

  (!fxOption.isPut() && fxOption.isBuy()) )

     return Math.abs(CurrencyUtil.roundAmount(fxOption.getPrimaryAmount(),

                                               fxOption.getPrimaryCurrency()))

else

     return Math.abs(CurrencyUtil.roundAmount(fxOption.getQuotingAmount(),

                                               fxOption.getQuotingCurrency()))

FXOption fxOption = (FXOption)trade.getProduct()

if ( (fxOption.isPut() && !fxOption.isBuy()) ||

          (!fxOption.isPut() && fxOption.isBuy()) )

    return ((FXOption)trade.getProduct()).getPrimaryCurrency();

else

    return ((FXOption)trade.getProduct()).getQuotingCurrency()

fxOption.getSettleDate()

Digital Payout amount, currency, timing, barrier condition.

fxOption.getExpiryDate()

Expiration time.

First Exercise Date in Pricing Sheet.

Knock in / out value.

if ( (fxOption.isPut() && fxOption.isBuy()) ||

   (!fxOption.isPut() && !fxOption.isBuy()) )

        return Math.abs(CurrencyUtil.roundAmount(fxOption.getQuotingAmount(),

                                                fxOption.getQuotingCurrency()))

    else

    return Math.abs(CurrencyUtil.roundAmount(fxOption.getPrimaryAmount(),

                                                fxOption.getPrimaryCurrency()))

if ( (fxOption.isPut() && fxOption.isBuy()) ||

  (!fxOption.isPut() && !fxOption.isBuy()) )

        return ((FXOption)trade.getProduct()).getPrimaryCurrency()

  else

    return ((FXOption)trade.getProduct()).getQuotingCurrency()

Math.abs(fxOption.getStrike())

fxOption.getOptionStyle()

Termination buy amount.

Termination sell amount.

Termination remaining buy amount.

Termination remaining sell amount.

Trigger value in Pricing Sheet.

Trigger Type in Pricing Sheet.

fxOption.getOptionTypeAsString()

Premium amount.

Premium currency.

Premium date.

Option type.

Option strike.

Expiration date.

Delivery date.

Option strip sub ID.

Style - Vanilla, etc.

Exercise type - European, American.

Delivery type - Cash, Physical.

Expiration date.

First exercise date for American.

Settlement date.

Notional.

Description of underlying.

Accrual Method: Adjusted, Unadjusted, FRN

HTML table of amortization schedule.

Date, Notional Outstanding, Notional Reduction

Averaging Frequency.

Averaging Method.

Initial Notional.

For cap and straddle, cap strike.

For floor, floor strike.

For collar: "Cap Rate:" cap strike + " Floor Rate:" floor strike.

For corridor: "Upper Strike Rate:" upper strike + "Lower Strike Rate:" lower strike.

Cap or Floor.

Cap rate for Collar.

Floor rate for Collar.

Digital Factor.

If Buy cap, code of Processing Organization, otherwise code of Counterparty.

Calculation type for inflation trades: InflationIncome or InflationIndexation .

Inapplicable.

Floating conversion basis.

Payment Date Roll.

Payment frequency.

Payment Holidays.

Payment Offset.

Rate Index Day Count.

First Payment Date.

Fixed rate on inflation floating leg.

Rate Index Tenor.

You can specify the message keyword as |FLT_INDEX_TENOR#MARKET_CONVENTION| to display “3 MONTH” instead of “3M” for example.

Calculation method for inflation trades: IndexLevel, Interpolated .

Interpolation method for inflation trades: Weighted or not.

Initial inflation used for inflation trades: None, Initial Level, Initial Date.

Initial inflation date used for inflation trades.

Initial inflation level for inflation trades.

If Sell cap, code of Processing Organization, otherwise code of Counterparty.

When are floating rates determined.

Rate Index Factor.

Rate Index.

First Rate if Set.

Rate Index Date Roll.

Spread.

Spread as multiplier: true / false.

Yes if there is cap rate schedule or a floor rate schedule, or no otherwise.

Yes if there is a rate schedule for the collar cap rate, or no otherwise.

Yes if there is a rate schedule for the collar floor, or no otherwise.

Premium amount.

HTML table of premium fees.

Fee date, Fee currency, Fee amount

Product Type appended with Sub Type.

Cap type: Cap/Floor.

Strike.

If Buy FRA, code of Processing Organization, otherwise code of Counterparty.

If Sell FRA, code of Processing Organization, otherwise code of Counterparty.

Payment Date Roll.

Fixing Date.

FRA rate.

Payment Day Count.

Rate Index Name

Rate Index Tenor.

You can specify the message keyword as |FLT_INDEX_TENOR#MARKET_CONVENTION| to display “3 MONTH” instead of “3M” for example.

Rate Index Day Count.

Payment Date.

Payment Holidays.

Discounting Method.

If interpolated, interpolate from index tenor.

If interpolated, interpolate to index tenor.

Commodity Swaption.

Cash or Physical.

Underlying trade sub ID.

HTML table of amortization schedule.

Calculation Period(s) Beginning, Notional Amount, Notional Reduction from Previous Calculation Period(s).

Averaging Frequency.

Averaging Method.

Used for cross currency swap.

If Prin Adj = Pay, CONSTANT_CURRENCY_PAYER = <counterparty>

If Prin Adj = Receive, CONSTANT_CURRENCY_PAYER = <processing org>

Used for cross currency swap.

If Prin Adj = Pay, CONSTANT_CURRENCY_PAYER = <processing org>

If Prin Adj = Receive, CONSTANT_CURRENCY_PAYER = <counterparty>

First expiration date for American cancelable swap.

Bermudan schedule for cancelable swaps.

Accrual period.

Payment date roll.

Payment frequency.

Payment holidays.

Number of payment offset days for fixed leg.

"Business Days" or "Calendar Days" for fixed leg.

Payment offset days: Number of payment offset days + "Business Days" or "Calendar Days".

Payment day count.

First payment date.

First period end date.

First period payment end date.

Fixed rate.

Fixed rate for Inflation floating leg.

Original notional.

Code for payer.

Payment accrual period.

Roll day with suffix.

Roll day without suffix.

Compound frequency.

Floating leg compounding type.

First reset rate if set.

Floating rate index tenor.

You can specify the message keyword as |FLT_INDEX_TENOR#MARKET_CONVENTION| to display “3 MONTH” instead of “3M” for example.

Calculation method for inflation trades: IndexLevel, Interpolated.

Interpolation method for inflation trades: Weighted or not.

Initial inflation index level.

Initial inflation used for inflation trades: None, Initial Level, Initial Date.

Initial inflation date used for inflation trades.

Initial inflation level for inflation trades.

Reset timing, number of days, business or calendar.

Floating leg rate index factor.

Floating rate index.

Cutoff lag for Dly Compounding Samples

Cutoff Holiday calendar for daily compounding

Sample timing

Sample period shift

Apply Pmt Lag To Principal Flows

Reset timing (At Start or In Arrears).

Reset day of the month for monthly resets.

Reset day of the week for weekly resets.

Reset holidays.

Floating rate spread value + "basis points".

Floating rate spread value.

The field Negotiated Price appears below the left swap leg when you have:

- The Discount menu item checked in the trade menus Swap or NDS.

- One of the legs is fixed and has the ZC payment frequency.

When you enter a value in that field, the principal of the legs will be updated according to the formulas below.

PV = FV / (1 + Fixed Rate) ^ Period for exponential interest

PV = FV / (1 + Fixed Rate x Period) for simple interest where Period = (Swap Start, Start End, Fixed Leg Pay Daycount)

In other words, PV + Interest from Fixed Leg Cashflow = FV.

Start date on the 1st cashflow.

Actual or notional principal exchange.

Business or Calendar.

Original notional.

Table of Termination dates.

First swap termination date.

Date Roll for notification date calculation relative to termination date.

Number of days of notification of termination.

True if there is a callable fee scheduled, or false otherwise.

These keywords can only be used inside the CallableFeeSchedule iterator.

Settlement currency.

Settlement FX reset.

Settlement FX reset holiday.

Settlement FX reset source.

See mapping capability under FXO_SETTLE_RATE_SOURCE.

Table of Bermudan exercise dates.

Option delivery time.

If Cash settlement, table of Bermudan settlement dates with currency and amounts.

CashEur, CashAmer.

Option delivery date.

Premium fee date.

Option first expiration date and time for American.

Option expiration date.

Option expiration time.

First exercise date for American option.

Exercise Type - European, Bermudan, American

Code for buyer of option.

Code for seller of option.

StraddleSwaption or Swaption.

Option schedule settlement dates.

Option schedule amounts.

Option schedule currencies.

Settlement type - Cash, Physical

If buy option, code for Counterparty, else code for Processing Organization.

Fixed Tenor swaption only.

"Fixed Tenor" or nothing.

Fixed Tenor swaption only.

Fixed Tenor or nothing.

Swap maturity date.

Swap start date.

Averaging method.

Clean price on settle date.

Delivery date (forward settled date).

Delivery type.

Dirty price on settle date.

(Agreed) Duration.

Fixing calendar.

Fixing Date roll.

Number of observations for fixing.

Locked price (Strike).

Locked yield (Strike).

Lockout (exercise) date.

Negotiated price type.

Observation type.

Bond CUSIP code.

Bond ISIN code.