XCCYSwap

Mandatory Fields


Position	String	The Unique Name that identifies the position. A TimeStamp is usually used as the Unique Trade Id.
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.
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

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.
Receive Floating	Fixed	RADIO	This flag defines if the rate paid or received is fixed or floating.
Receive Fixed	Fixed	RADIO	Defines if the rate is fixed or floating.
Receive Fixed	Swap Rate	RATE	The forward rate of the fixed leg of the swap [determined leg].
Pay Fixed	Swap Rate	RATE	The forward rate of the fixed leg of the swap [determined leg].
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.
Receive Floating	Fixed	RADIO	This flag defines if the rate paid or received is fixed or floating.
Receive Fixed	Fixed	RADIO	Defines if the rate is fixed or floating.
Receive Fixed	Swap Rate	RATE	The forward rate of the fixed leg of the swap [determined leg].
Pay Fixed	Swap Rate	RATE	The forward rate of the fixed leg of the swap [determined leg].
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..
Impermissible	CHECK	The Impermissible flags is defined for Swaps and Options. If a position is a loss for us then it does not represent a credit risk, since our counterparty is generating a profit.
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.
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.
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.
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.

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.
Buy	BUYSELL	The Buy or Sell flag. Long positions are bought. Short positions are sold.
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.
Start Date	DATE	The date when the trade kicks in.
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.
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 known reset rate.
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
Averaging	AVG	Averaging takes place when floating rates reset levels are defined according to an averageof multiple observations. Averaging period is always smaller than Compounding period which in turn is smaller than coupon ppayment period.
Compounding	COMP	Compounding takes place when the coupon is made of multiple fixing rate observations that are compounded between the reference reset end and start dates. The Compounding Frequence is always higher than the paymet frequency.
Cash-Flows	FIXEDFLOWS	Cash-flows are streams of rates, notional amounts and dates defined by the user and storred with the trade in the database.
Reset-Flows	RESETS	Reset Flows 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.
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
Averaging	AVG	Averaging defines if floating rates reset levels are defined according to an average.
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.
Cash-Flows	FIXFLOWS	Cash-flows are pre-agreed streams of rates, notional amounts and date tuples.
Reset-Flows	RESETS	Reset Flows are floating rate flows. Resets can be set in Arrears or in Advance (by default).