ContingentPremiumFloor

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ContingentPremiumFloor

	ContingentPremiumFloor Pricing
	ContingentPremiumFloor Static Replication
	ContingentPremiumFloor Hedge

ContingentPremiumFloor Product Fields

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."
Accrued	Rate	The interest accrued by the coupon.
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.
Floor Rate	Rate	The rate defined for each caplet in the Cap
Premium	Price	"The Option Fair Value, expressed in percent. The premium is required for Contingent Premium Swaptions."
Cash-Flows	Fixed Flows	"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	Reset Flows	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.

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.

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.
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."

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.
Next Reset	RATE	The known reset rate.
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.

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