FixFixXccySwap

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FixFixXccySwap

	FixFixXccySwap Pricing
	FixFixXccySwap Static Replication
	FixFixXccySwap Hedge

FixFixXccySwap 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.
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.
Swap Rate	Rate	The forward rate of the fixed leg of the swap [determined leg].
Currency	Currency	The currency of the instrument
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.

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.
Buy	BUYSELL	The Buy or Sell flag. Long positions are bought. Short positions are sold.
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.
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.
Reset-Flows	RESETS	Reset Flows are floating rate flows. Resets can be set in Arrears or in Advance (by default).

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