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CommodityFloatSwap
  CommodityFloatSwap Pricing
  CommodityFloatSwap Static Replication
  CommodityFloatSwap Hedge
CommodityFloatSwap 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.
No. UnitsAmountThe number of instruments (Stocks, Shares, Financial Future Contracts) etc you have bought or sold
Discount CurveYield CurveThe interest rate curve used to discount flows.
CommodityCommodityThe commodity curve used to value the asset.
MaturityDateThe date when the contract expires.
FrequencyIntegerFrequency at which coupons are paid.
Total ReturnCheckbox ButtonIf Total Return is enabled, dividends are reinvested in the underlying stock. If not, dividends go into the cash-account and are reinvested at the prevailing overnight rate.
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.

Rule Based Fields


Asset PricePRICEThe market price of the Asset.
Pay FloatingEquityEQUITYThe Equity name

User Level Based Fields


PaymentPAYMENTThe 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


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.
SettlementDATEThe Date(s) when the trade(s) is(are) settled.
Settlement PricePRICEThe Price(s) paid when the instrument settles.
Settle CcyCCYThe Currency(ies) of The settlement price(s). The currency is used to convert and discount flows with the currency's riskless rate.
PaymentPAYMENTThe 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.
DividendRATEThe Average Dividend Yield paid in percent by the asset.
End LevelPRICEThe asset level at redepmtion. This field is only used in instances when the end level has be guaranteed or hedged out.
Next ResetRATEThe next reset rate, if known
First CouponDATEThe Date when the First Coupon is paid
CashCASHACCOUNTCash 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.
PremiumPRICEThe Option Fair Value, usually expressed as a percentage. This premium is required for contingent premium Swaptions.
Known SpreadSPREADThe Known Reset Spreads
Interest At MaturityBOOLThe 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.
StrikesSTRIKESA series of Exercise Prices and dates



 

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