|Home|Help
 
|
Main
|
 
 
 
 
 
 
 
 
 
 
 
 
 
Brady
  Brady Pricing
  Brady Static Replication
  Brady Hedge
Brady Product Fields

Mandatory Fields


Counterparty- AccountThe Counterparty Name and Account Number against which the trade is assigned. Accounts have Collateral, Ratings, Netting Agreements and Recovery Rates.
Discount CurveYield CurveThe interest rate curve used to discount flows.
NotionalAmountThe Notional is the reference amount of the trade used to compute payments.
MaturityDateThe date when the contract expires.
FrequencyIntegerFrequency at which coupons are paid.
CouponRateThe Coupon defines the annual rate paid by the issuer. The coupon is divided by the frequency and multipllied by the daycount fraction to define payments.
SpreadSpreadThe additional basis points paid on top of the rate. (a spread of 100 corresponds to 100/10 000) or 1%.
CurrencyCurrencyThe currency of the instrument
Reset IndexReset IndexThe Reference Index is the term structure used to fix floating rate coupons. The reference index is used to estimate forwards via risk neutral pricing.
MaturityDateThe date when the contract expires
FrequencyIntegerFrequency at which coupon are paid.
CouponRateThe Coupon defines the annual rate paid the issuer. The coupon is divided by the frequency to define payments.
Cap RateRateThe rate defined for each caplet in the Cap
Next ResetRateThe next reset rate, if known
PremiumPriceThe Option Fair Value, usually expressed as a percentage. This premium is required for contingent premium Swaptions.

Optional Fields


TagTAGSThe Tag(s) associated with the position(s). Tags are defined as uris with / in order to slice and dice valuation. A Tag is always preceded by the name of the dimension to which it belongs.
PortfolioPORTFOLIOSThe Portfolio to which belongs the position.
BuyBUYSELLThe Buy or Sell flag. Long positions are bought. Short positions are sold.
Fx-HedgePERCENTThe foreign Exchange Percentage that is hedged out. 0%= no hedge. 100% Fully Hedged.
Open DateDATEThe Date when the position is taken into account in the Analysis.
Close DateDATEThe Date when the position will ceases to be taken into account in the Analysis.
Interest At MaturityRADIOThe interest at Maturity flag determines is the rate will be computed in fine or at discount. Note: US T-Bills and Australian Bills are in fine.