Convertible

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.
No. Units	Amount	The number of instruments (Stocks, Shares, Financial Future Contracts) etc you have bought or sold
Nominal	Amount	The Nominal defines the reference amount of a cash instrument used to compute payments.
Face	Amount	The Percent Value of the Bond at Inception.
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.
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.
Conversion Rate	Factor	The Conversion price of the Bond into the Asset.
Soft Call Price	Price	The Soft Call Conversion Date is the date when the Convertible Soft Call Price is valid.
Soft Call Convertion Date	Date	Soft Call Conversion Price is the Price at which the convertible bond can be converted.
Discount Curve	Yield Curve	The interest rate curve used to discount flows.
Equity	Equity	The Equity name
Maturity	Date	The date when the contract expires.
Frequency	Integer	Frequency at which coupons are paid.
Coupon	Rate	The 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 Return	Checkbox Button	If 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 Level	Price	The asset level at inception.
End Level	Price	The asset level at redepmtion. This field is only used in instances when the end level has be guaranteed or hedged out.
Reset Index	Reset Index	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.
Maturity	Date	The date when the contract expires
Frequency	Integer	Frequency at which coupon are paid.
Coupon	Rate	The Coupon defines the annual rate paid the issuer. The coupon is divided by the frequency to define payments.
Floor Rate	Rate	The rate defined for each caplet in the Cap

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.
Strikes	STRIKES	A stream of Exercise Prices and dates entered by the user and stored with the trade in the database.
Premium	PRICE	The Option Fair Value, usually expressed as a percentage. This premium is required for contingent premium Swaptions.
Reset-Flows	RESETS	Reset Flows are floating rate flows. Resets can be set in Arrears or in Advance (by default).

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.
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.
Accrued	RATE	The interest accrued by the coupon.
Swap Hedge	NUMBER	The Hedge Ratio of the Swap's Exposure Leg
Risk Weight	FACTOR	The Risk Weight Applicable to the Exposure Leg
Dividend	RATE	The Average Dividend Yield paid in percent by the asset.
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.
Next Reset	RATE	The next reset rate, if known
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.

Asset Price	PRICE	The market price of the Asset.
Beta	FACTOR	The 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.

	Convertible Pricing
	Convertible Static Replication
	Convertible Hedge