Analytics Menu

The Analytics menu allows running risk analyses on-the-fly for the trade currently loaded in the trade worksheet.

Also, the Analytics menu usually contains a solver to solve for a target NPV or other indicators, and a solver panel.

Menu Items

Description

Solve (F9)

The Solve function is not implemented by default for all product types. However, you can create a custom Solver. Refer to the Calypso Developer’s Guide for details.

Sample Swap Solver

» Select a target pricer measure and enter the target value. Then select the value to solve for (pay rate, receive rate, or FX rate), and click Solve.
» You can click Apply to set the value to solve for on the trade. In this example, the Pay leg is fixed, and the result is applied to the fixed rate.

For a floating leg, the result would be applied to the spread.

Then click Price to obtain the target value.

» You can modify the solver variables and details as needed.

Solver Panel

To add the bond solver panel to the fixed leg of a swap.

Before using the solver, you can press [F11] to calculate the break-even rate on the swap.

Next, select a bond or bond spread from the Product field. You can click ... to add bonds or bond spreads.

The latest price of the selected product will appear in the Price field. Enter it otherwise.

When you enter a price, the solver calculates the bond yield and the implied spread (in basis points) against the fixed rate.

To apply a spread to your fixed rate, type the spread in basis point in the spread field and press [Enter].
Calibration

To perform on-the-fly calibration of a pricing model according to user-defined parameters.

See Calibration Documentation for details.
On Demand Analysis

You can run risk analyses on-the-fly on the trade, using one of the following methods:

• Choose On Demand Analysis, and select the Ad Hoc panel - Select the input parameters and the analysis parameters, and click Run.
• Choose On Demand Analysis, and select the On Demand panel - Select the input parameters and click a predefined analysis, and click Run.

The results will be displayed in the Calypso Workstation or saved to a file, based on the selected parameters.

See On Demand Analysis for complete details on using the On Demand Analysis window and defining risk speed buttons.
On Demand Analysis Speed Buttons

To define risk speed buttons.

Risk speed buttons can be accessed from On Demand Analysis Shortcuts.

See On Demand Analysis for complete details on using the On Demand Analysis window and defining risk speed buttons.
On Demand Analysis Shortcuts

You can run risk analyses on-the-fly on the trade, from On Demand Analysis Shortcuts, and select a risk speed button, provided you have defined risk speed buttons.

The results will be displayed in the Calypso Workstation or saved to a file, based on the selected parameters.

Risk speed buttons can be defined using On Demand Analysis Speed Buttons.