CDSwaption

Mandatory Fields


Counterparty- Account		"The Counterparty Name and Account Number against which the trade is assigned. Accounts have Collateral, Ratings, Netting Agreements and Recovery Rates."
Position	String	The Unique Name that identifies the position. A TimeStamp is usually used as the Unique Trade Id.
Call	Radio Button	"The Option type. Call for a right to purchase (Default) , put for a right to sell."
European	Radio Button	"An American Option can be exercised at any date between inception and maturity, whereas the European Option can only be exercised at maturity."
Bermudan	Boollean	This option style is mainly for Swaptions that can exercised between specific periods.
Volatility	Volatility	"The implied volatility used to override the historical volatility computed from market data. If available, the Volatility Surface (and Forward Rate Volatility and Correlations for FI products) Override this Field."
Expiration	Date	The date when the option expires.
Strike Price	Price	The exercise price of the option
Exercise Date	Date	"The Exercise Date of the Option. If the Option is European the Exercise date is at maturity. If the option is American, the Exercise date(s) can take place from inception up to the option expiration date."
Exercise Date	Date	The Date when the Option can be last exercised.
Receivable	Boollean	The side that is received by the buyer.
Discount Curve	Yield Curve	The interest rate curve used to discount flows.
Notional	Amount	The Notional is the reference amount of the trade used to compute payments.
Maturity	Date	The date when the contract expires.
Frequency	Integer	Frequency at which coupons are paid.
Strikes	Strike Prices	A stream of Exercise Prices and dates entered by the user and stored with the trade in the database.
Discount Curve	Yield Curve	The interest rate curve used to discount flows.
Fixed	Radio Button	This flag defines if the rate paid or received is fixed or floating.
Notional	Amount	The Notional is the reference amount of the trade used to compute payments.
Maturity	Date	The date when the contract expires
Frequency	Integer	Frequency at which coupon are paid.

Rule Based Fields

Receive Floating	Reset Index	REFINDEX	The Reference Index is the term structure used to fix floating rate coupons. The reference index is used to estimate forwards via risk neutral pricing.
Receive Fixed	Fixed	RADIO	Defines if the rate is fixed or floating.
Receive Fixed	Swap Rate	RATE	The forward rate of the fixed leg of the swap [determined leg].
Pay Fixed	Swap Rate	RATE	The forward rate of the fixed leg of the swap [determined leg].
Pay Floating	Reset Index	REFINDEX	The Reference Index is the term structure used to fix floating rate coupons. The reference index is used to estimate forwards via risk neutral pricing.

User Level Based Fields


Zero-Interest	BOOL	Zero Interest disables accruing overnight interest rate accumulation of the instrument's receivables/payables that have been credit/debited from the cash-account.
Seasoned	CHECK	This field is only relevant to Bermudan Swaptions.
Cash	CASHACCOUNT	"The cash-account in which payables/receivables will be debited/credited. The balance is carried at the over-night rate of the underlying curve, except when zero-interest is specified."
Cash	CASHACCOUNT	Cash defines a liquid deposit made in a given currency where all proceeds of the trade or leg are invested as the portfolio is simulated throughout time.
Payment	PAYMENT	"The additional payment or fee attached to a trade or the individual receivable and/or payable legs. As opposed to notional cash-flows, Payments on each leg are considered exchanged."

Optional Fields


Tag	TAGS	The 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.
Portfolio	PORTFOLIOS	The Portfolio to which belongs the position.
Purchased	RADIO	"Write Sell flag. Equivalent to Buy Sell Flag, but used mainly for options. Options are Written when sold. By default options are considered purchased."
Fx-Hedge	PERCENT	The foreign Exchange Percentage that is hedged out. 0%= no hedge. 100% Fully Hedged.
Open Date	DATE	The Date when the position is taken into account in the Analysis.
Close Date	DATE	The Date when the position will ceases to be taken into account in the Analysis.
Start Date	DATE	The date when the trade kicks in.
Settlement	DATE	The Date(s) when the trade(s) is(are) settled.
Settlement Price	PRICE	The Price(s) paid when the instrument settles.
Settle Ccy	CCY	The Currency(ies) of The settlement price(s). The currency is used to convert and discount flows with the currency's riskless rate.
Converging	CHECK	Converging defines if the swaption converges as time goes by. Conversely the Swaption is considered Constant.
Spread	SPREAD	The additional basis points paid on top of the rate. (a spread of 100 corresponds to 100/10 000) or 1%.
Next Reset	RATE	The known reset rate.
First Coupon	DATE	The Date when the First Coupon is paid
Payment	PAYMENT	"The additional payment or fee attached to a trade or the individual receivable and/or payable legs. As opposed to notional cash-flows, Payments on each leg are considered exchanged."
Known Rate	RATE	The Known Reset Rates
Known Spread	SPREAD	The Known Reset Spreads
Averaging	AVG	Averaging takes place if floating rates are computed according to an average computed from multiple observations.
Compounding	COMP	Compounding takes place when the coupon is computed from multiple observations that are compounded between the reference reset end and start dates.
Cash-Flows	FIXEDFLOWS	"User defined Cash-flows. These are streams of rates, notional amounts and dates defined by the user and storred with the trade in the database. "
Reset-Flows	RESETS	User defined Reset Flows. These are floating rate flows. Either set in Arrears or in Advance with or without averaging and or compounding defined by the user and storred with the trade in the databse.
DaysPastDue	NUMBER	The Number of days the Obligor has been Deliquent in order to assume Default.
Spread	SPREAD	The additional basis points paid on top of the rate. (a spread of 100 corresponds to 100/10 000) or 1%.
Next Reset	RATE	"The next reset rate, if known"
First Coupon	DATE	The Date when the First Coupon is paid
Known Rate	RATE	The Known Reset Rates
Known Spread	SPREAD	The Known Reset Spreads
Averaging	AVG	Averaging defines if floating rates reset levels are defined according to an average.
Compounding	COMP	Compounding defines if floating rates reset levels used to define the payment are defined according to a rate that is compounded.
Cash-Flows	FIXFLOWS	"Cash-flows are pre-agreed streams of rates, notional amounts and date tuples. "
Reset-Flows	RESETS	Reset Flows are floating rate flows. Resets can be set in Arrears or in Advance (by default).

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