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Convertible
  Convertible Pricing
  Convertible Static Replication
  Convertible Hedge
Convertible 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.
PositionStringThe Unique Name that identifies the position. A TimeStamp is usually used as the Unique Trade Id.
No. UnitsAmountThe number of instruments (Stocks, Shares, Financial Future Contracts) etc you have bought or sold
NominalAmountThe Nominal defines the reference amount of a cash instrument used to compute payments.
FaceAmountThe Percent Value of the Bond at Inception.
EuropeanRadio ButtonAn American Option can be exercised at any date between inception and maturity, whereas the European Option can only be exercised at maturity.
VolatilityVolatilityThe 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.
ExpirationDateThe date when the option expires.
Conversion RateFactorThe Conversion price of the Bond into the Asset.
Soft Call PricePriceThe Soft Call Conversion Date is the date when the Convertible Soft Call Price is valid.
Soft Call Convertion DateDateSoft Call Conversion Price is the Price at which the convertible bond can be converted.
Discount CurveYield CurveThe interest rate curve used to discount flows.
EquityEquityThe Equity name
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.
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.
Begin LevelPriceThe asset level at inception.
End LevelPriceThe asset level at redepmtion. This field is only used in instances when the end level has be guaranteed or hedged out.
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.
Floor RateRateThe rate defined for each caplet in the Cap

Rule Based Fields


Asset PricePRICEThe market price of the Asset.
BetaFACTORThe measure of relative dependency to the market index computed as the Covariance(stock, Index) divided by the variance of the Market Index. You Must supply a Price if you define Beta.

User Level Based Fields


Zero-InterestBOOLZero Interest disables accruing overnight interest rate accumulation of the instrument's receivables/payables that have been credit/debited from the cash-account.
CashCASHACCOUNTThe 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.
StrikesSTRIKESA stream of Exercise Prices and dates entered by the user and stored with the trade in the database.
PremiumPRICEThe Option Fair Value, usually expressed as a percentage. This premium is required for contingent premium Swaptions.
Reset-FlowsRESETSReset Flows are floating rate flows. Resets can be set in Arrears or in Advance (by default).


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.
PurchasedRADIOWrite Sell flag. Equivalent to Buy Sell Flag, but used mainly for options. Options are Written when sold. By default options are considered purchased.
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.
AccruedRATEThe interest accrued by the coupon.
Swap HedgeNUMBERThe Hedge Ratio of the Swap's Exposure Leg
Risk WeightFACTORThe Risk Weight Applicable to the Exposure Leg
DividendRATEThe Average Dividend Yield paid in percent by the asset.
Cash-FlowsFIXEDFLOWSUser defined Cash-flows. These are streams of rates, notional amounts and dates defined by the user and storred with the trade in the database.
Next ResetRATEThe next reset rate, if known
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.