QuantoFloatSwap

Mandatory Fields


No. Units	Amount	The number of instruments (Stocks, Shares, Financial Future Contracts) etc you have bought or sold
Call	Radio Button	The Option type. Call for a right to purchase (Default) , put for a right to sell.
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.
Strike	Price	The exercise price of the option
Quanto Exchange Rate	Rate	The Exchange Rate defined for a Quantity Exchange Rate Option.(Quanto)
Covariance	Quantity	The Covariance between FX rate and Asset for Quanto or between forward interest rate differentials (Fwd-Fwd) for Diff swaps. This field is overriden by Equity/FX (Quanto) and Forward/FX(Diff Swaps) Volatility Correlation DataSource
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.
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, except if zero-interest is defined!
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 coupon are paid.

Rule Based Fields

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.
Receive Floating	Reset Index	REFINDEX	The Reference Index is the term structure used to fix floating rate coupons. By default this is often the same as the discount, but this might not always be the case. The reference index is used to estimate forwards via risk neutral pricing.
Pay Floating	Reset Index	REFINDEX	The Reference Index is the term structure used to fix floating rate coupons. By default this is often the same as the discount, but this might not always be the case. The reference index is used to estimate forwards via risk neutral pricing.
Receive Floating	Reset Index	REFINDEX	The Reference Index is the term structure used to fix floating rate coupons. By default this is often the same as the discount, but this might not always be the case. The reference index is used to estimate forwards via risk neutral pricing.
Pay Floating	Reset Index	REFINDEX	The Reference Index is the term structure used to fix floating rate coupons. By default this is often the same as the discount, but this might not always be the case. 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 URL like name value pairs separated by / in order to slice and dice analytics. Every Tag has a Dimension.
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.
Counterparty- Account	CPTYACCNO	The Combined name of the Counterparty in the trade & the Account Number against which the trade is assigned. Accounts have Collateral, Ratings, Netting Agreements and Recovery Rates.
Fx-Hedge	PERCENT	Defines the foreign Exchange Percentage that is hedged out. 0%= no hedge. 100% Fully Hedged.
Open Date	DATE	The Business 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 when the trade is settled
Settlement Price	PRICE	The Price paid when the instrument settles.
Settle Ccy	CCY	The Currency of The settlement price. Used to Convert and Discount Flows with the Riskless Base curve.
Fx Implied Volatility	VOLATILITY	The FX volatility override is available for quantos, since the FX rate is fixed at inception. This field can be overriden by the FX / Equity Volatility / Correlation DataSource.
Dividend	RATE	The Average Dividend Yield paid in percent by the asset.
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.
Spread	SPREAD	The additional basis points paid on top of the rate. (a spread of 100 corresponds to 100/10 000) or 1%.
Next Reset	RATE	The next reset rate, if known
First Coupon	DATE	The Date when the First Coupon is paid
Known Rate	RATE	The Known Reset Rates
Known Spread	SPREAD	The Known Reset Spreads
Compounding	COMP	Compounding defines if floating rates reset levels used to define the payment are defined according to a rate that is compounded. If this is the case, the frequency reset rate must be smaller than the payment frequency.
Reset-Flows	RESETS	Reset Flows are floating rate flows. Resets can be set in Arrears or in Advance (by default).

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