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FloatingBA
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FloatingBA 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."
NominalAmountThe Nominal defines the reference amount of a cash instrument used to compute payments.
Discount CurveYield CurveThe interest rate curve used to discount flows.
MaturityDateThe date when the contract expires.
FrequencyIntegerFrequency at which coupons are paid.

Rule Based Fields


Receive FloatingReset IndexREFINDEXThe 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-InterestBOOLZero Interest disables accruing overnight interest rate accumulation of the instrument's receivables/payables that have been credit/debited from the cash-account.
ImpermissibleCHECK"The Impermissible flags is defined for Swaps, Forwards and Options. If a position is a loss for us there is no credit risk, as our counterparty is making a profit."
CashCASHACCOUNT"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


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.
Start DateDATEThe date when the trade kicks in.
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.
Commitment FeeRATEThe Fee of the Position
Undrawn FeeRATEThe Fee applicable to the Loan Portion that has not been drawn
Current DrawDownRATEThe current Percentage of funds that have been drawn down
Expected DrawDownRATEThe Overall Percentage of the Loan that is Expected to be Drawn Down
SpreadSPREADThe additional basis points paid on top of the rate. (a spread of 100 corresponds to 100/10 000) or 1%.
Next ResetRATEThe known reset rate.
First CouponDATEThe Date when the First Coupon is paid
Known RateRATEThe Known Reset Rates
Known SpreadSPREADThe Known Reset Spreads
Reset-FlowsRESETSUser 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.



 

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