Expiry Dates & Rates Window

The Expiry Dates & Rates window displays information on the underlying legs in a strip or structure.

You access it by clicking the Expiry Dates & Rates button or the Settlement Dates button or the Expiry Details button depending on the instrument type and the pricing page.

For more information on the Expiry Dates & Rates window for the:

Vanilla strip & vanilla strip strategy click here

Asian strip & Asian strip strategy click here

OTC spread strip click here

Swap strip click here

Crack strip click here

TARN click here

Gas formula swap strip click here

Basis swap strip click here

OTC spread swap strip click here

Forward strip click here

European binary strip click here

Forward strip click here

Expiry Dates & Rates Window for a Vanilla Strip & Vanilla Strip Strategy

A vanilla strip and a vanilla strip strategy consists of a group of vanilla options. Once you have defined the strip or strip strategy, you can then see the following for the individual options:

Expiry date

You can:

Edit the expiry date for each underlying instrument individually by using the relevant textbox for that instrument.

Settlement date

You can:

Edit the settlement date for each underlying instrument individually by using the relevant textbox for that instrument.

Change the settlement dates of all the underlying instruments simultaneously to the same date by using the empty textbox at the top of the Settlement dates column.

Shift the settlement dates of all the underlying instruments backwards or forwards by the same number of business days. You do this using the empty textbox at the top of the Settlement dates column. To move all the settlement dates forward by a certain number of business days enter the number or + and the number; to move all the settlement dates backwards by a certain number of business days enter - and the number.

Monthly volume

If you change the volume of one or more of the individual vanilla options, when you recalculate the strip instrument the price per unit result takes into account the weighted average of all the volumes. That is, it takes into account the fact that each underlying instrument has a different volume.

ATMF vol

Future

Market vol

Price per <unit>

To change the values of individual vanilla options in a vanilla strip or vanilla strip strategy:

Expiry Dates & Rates window for an Asian strip & Asian strip strategy

An Asian strip or Asian strip strategy consists of a group of Asian options. Initially all these options are the same, with the exception of the expiry date.

Once you have defined the strip, you can then see the following data in the Expiry Dates & Rates window for each individual Asian option in an Asian strip (and an Asian strip strategy):

Expiry date

Settlement date

The dates that appear by default depend on market convention. This is generally two business days after the end of each payment period. However, if you choose to base your fixings on exchange dates, the settlements are made two business days after the exchange date each month.

You can:

Edit the settlement date for each underlying instrument individually by using the relevant textbox for that instrument.

Change the settlement dates of all the underlying instruments simultaneously to the same date by using the empty textbox at the top of the Settlement dates column.

Shift the settlement dates of all the underlying instruments backwards or forwards by the same number of business days. To move all the settlement dates forward by a certain number of business days enter the number or + and the number. To move all the settlement dates backwards by a certain number of business days enter - and the number.

Monthly volume

If you change the volume of one or more of the individual Asian options, when you recalculate the Asian strip the price per unit result takes into account the weighted average of all the volumes. That is, it takes into account the fact that each underlying instrument has a different volume.

Swap rate

In an Asian strip, each individual Asian option is based on a swap. The swap rate is the fixed rate that would give a zero cost swap (i.e., it is defined to be the same as the calculated floating rate, which the system calculates as the average of the futures over the period of the swap).

When looking at an Asian strip you can modify its overall swap rate in the Single Option page/Data window. If you do modify the overall swap rate, the system automatically modifies the individual swap rate for each individual option by respecting the shape of the curve.

Market vol

Price per <unit>

To change the values of individual options in an Asian strip:

Expiry Dates & Rates window for an OTC spread strip

For an OTC spread strip in the Expiry Dates & Rates window there are two tabs as follows:

Deal Configuration

In this tab for each leg in the strip you can see the expiry and delivery date, and for each asset you can see the underlying swap contract, the begin and end date of the swap, and its volume.

Market Data

In the Market Data tab for each underlying leg in the strip you can see the following:

Expiry and delivery date

Underlying swap contract and swap rate for each asset

Contract correlation

By default, SuperDerivatives displays the correlation between a swap contract on asset 1 and a swap contract on asset 2 for each specific month (i.e., for each underlying leg in the strip).

Spread in units

This is the forward spread (crack), which is the future cost of one unit of crack (i.e., the cost of exchanging the base asset with the other asset) on the expiry date.

Expiry Dates & Rates window for a swap strip

A swap strip is a strip of swaps. Initially all these swaps are the same, with the exception of the expiry date. Once you have defined the strip, you can then see the following data in the Expiry Dates & Rates window:

Begin date

End date

Settlement date

You can:

Edit the settlement date for each underlying instrument individually by using the relevant textbox for that instrument.

Change the settlement dates of all the underlying instruments simultaneously to the same date by using the empty textbox at the top of the Settlement dates column.

Shift the settlement dates of all the underlying instruments backwards or forwards by the same number of business days. To move all the settlement dates forward by a certain number of business days enter the number or + and the number. To move all the settlement dates backwards by a certain number of business days enter - and the number.

Volume

If you edit any of the volumes of the underlying instruments, the system takes this into account when calculating the instrument's swap rate result. That is, it assigns a weight to each underlying instrument's swap rate according to its volume.

Swap rate

For expired swaps this data is the actual market rate. For swaps that have not yet expired, this data is calculated as the average of the nearest futures on either side of the expiry date. Note Currently the swap rates cannot be edited.

Cash flow

This is the amount that is to be paid on the settlement date. It is calculated as the swap rate - the traded rate (or strike) x volume in units. For settled swaps the cash flow is realized, that is, the calculation is final; for non-settled swaps the cash flow is unrealized, i.e., the actual swap rate used in the final calculation may be different, therefore the amount is an estimation only.

Expiry Dates & Rates window for a crack strip

A crack strip is simply a strip of crack options, each of which gives the holder of the option the right to exchange a base asset for one or two other assets at a predefined strike. Once you have defined the strip, you can then see information on the underlying instruments in the strip via the Expiry Dates & Rates window. The following data is available:

In the Deal Configuration tab, for each expiry date you can see the following:

Expiry date.

Delivery date.

Underlying futures, futures expiry date and volume per underlying asset.

You can edit the volume for each expiry date. After making any changes to the data, you can then click the Accept button in the Expiry Dates & Rates window to save the changes and use them in pricing the instrument.

In the Market Data tab for each expiry date you can see the following:

Expiry date.

Delivery date.

Underlying Future, future price per unit & ATMF volatility per underlying asset.

For each asset you can edit the futures price per unit and the ATMF volatility for each expiry date. After making any changes to the data, you can then click the Accept button in the Expiry Dates & Rates window to save the changes and use them in pricing the instrument.

Contract correlation.

You can see the correlation between all the assets in the instrument by clicking the icon. You can then edit the data as required. You do this by clicking in the relevant textbox and entering the new data. After editing the data, click Accept to save the changes.

Spread in <currency>/<unit>.

Expiry Dates & Rates window for a TARN

A TARN exists as an additional feature to an existing product. That existing product is actually a strip of structures, which generate both positive payouts and negative payouts (if there is more than one leg in each structure). Once you have defined the strip, you can then see information on the underlying instruments in the strip via the Expiry Dates & Rates window. The following data is available:

Expiry date

Settlement

By default the settlement date (or delivery date) depends on the market, the underlying asset and also on whether it is traded on an exchange or in the OTC market. For example, options on Brent Crude Oil are settled; this means that delivery is made five business days after the option's expiry date.

For any underlying instruments that have not yet expired, you can:

Edit the settlement date for each underlying instrument individually by using the relevant textbox for that instrument.

Change the settlement dates of all the underlying instruments simultaneously to the same date by using the empty textbox at the top of the Settlement dates column.

Shift the settlement dates of all the underlying instruments backwards or forwards by the same number of business days. To move all the settlement dates forward by a certain number of business days enter the number or + and the number. To move all the settlement dates backwards by a certain number of business days enter - and the number.

Begin date

End date

Strike, volume and underling swap

You can edit the strike and volume for each expiry date.

After making any changes to the data for a TARN in this window, you can then click the Accept button in the Expiry Dates & Rates window to save the changes and use them in pricing the instrument.

Expiry Dates & Rates window for a gas formula strip

A gas formula strip is a strip of gas formula swaps. Once you have defined the strip, you can then see information on the underlying swaps in the strip via the Expiry Dates & Rates window (which is accessed by clicking the Expiry Dates & Rates button).

The following data is available for each swap:

Information on all the parameters in the selected gas formula involving fixings that are used for this swap. This information is displayed in the Parameter Rates & Fixings window which is accessed by clicking the swap's Parameter Rates & Fixings link.

Expiry date.

Begin date

End date

Settlement

You can:

Edit the settlement date for each underlying instrument individually by using the relevant textbox for that instrument.

Change the settlement dates of all the underlying instruments simultaneously to the same date by using the empty textbox at the top of the Settlement dates column.

Shift the settlement dates of all the underlying instruments backwards or forwards by the same number of business days. To move all the settlement dates forward by a certain number of business days enter the number or + and the number. To move all the settlement dates backwards by a certain number of business days enter - and the number.

Volume

You can edit the volume of any swap that has not yet settled. After making any changes to the volume you can then click the Accept button in the Expiry Dates & Rates window to save the changes and use them in pricing the instrument.

Swap rate

This is the swap's gas formula rate (calculated using the defined gas formula).

Cash flow data

Expiry Dates & Rates window for a basis swap strip

A basis swap strip is a strip of basis swaps. Once you have defined the strip, you can then see information on the underlying basis swaps in the strip via the Expiry Dates & Rates window (which is accessed by clicking the Expiry Dates & Rates button).

The following data is available for each basis swap:

Begin date & end date

Each basis swap is always a single calendar month.

Settlement date

You can:

Edit the settlement date for each underlying instrument individually by using the relevant textbox for that instrument.

Change the settlement dates of all the underlying instruments simultaneously to the same date by using the empty textbox at the top of the Settlement dates column.

Shift the settlement dates of all the underlying instruments backwards or forwards by the same number of business days. To move all the settlement dates forward by a certain number of business days enter the number or + and the number. To move all the settlement dates backwards by a certain number of business days enter - and the number.

Volume

You can edit the volume of any underlying basis swap that has not yet been settled. Once you have changed the volume you can then click the Accept button in the Expiry Dates & Rates window to save the changes and use them in pricing the instrument. Subsequently in the pricing page the total volume is updated accordingly.

Swap rate

This column displays the instrument's basis. The price differential between two predefined commodities (the Henry Hub Natural Gas and the selected asset), the basis is calculated as follows:

Swap price of the hedged asset - the futures price of the Henry Hub Natural Gas exchange traded contract

A link to see the underlying assets' rates and fixings

This link opens the Rates & Fixings window, which provides information on the basis swap's underlying assets. For the Henry Hub Natural Gas you see its futures price, and for the hedged asset you see its swap price. These are the values used to calculate the basis (or swap rate).

You can also see the underlying fixings details for each of the underlying assets. You do this by clicking the Fixings link next to each asset. In the window that opens you will see the list of fixing dates.

In the Fixing details window you can also add fixings as required.

Expiry Dates & Rates window for an OTC spread swap strip

An OTC spread swap strip is a strip of OTC spread swaps. Once you have defined the strip, you can then see information on the underlying basis swaps in the strip via the Expiry Dates & Rates window (which is accessed by clicking the Expiry Dates & Rates button).

The following data is available for each underlying OTC spread swap:

Begin date & end date

Each OTC spread swap is always a single calendar month.

Delivery date

Volume

You can edit the volume of any underlying OTC spread swap that has not yet been settled. Once you have changed the volume you can then click the Accept button in the Expiry Dates & Rates window to save the changes and use them in pricing the instrument. Subsequently in the pricing page the total volume is updated accordingly.

Swap rate

This column displays the instrument's spread. The price differential between two predefined exchange-traded or OTC energy commodities, the spread is calculated as follows:

The swap rate of Asset 2 (presented in the unit of the base asset) - the swap rate of Asset 1 (i.e., the base asset)

A link to see the underlying assets' rates and fixings

This link opens the Rates & Fixings window, which provides information on the OTC spread swap's underlying assets. For both assets you see their swap rates. These are the values used to calculate the spread (which is presented as the swap rate in the Results area in the pricing page).

You can also see the underlying fixings details for each of the underlying assets. You do this by clicking the Fixings link next to each asset. In the window that opens you will see the list of fixing dates.

In the Fixing details window you can also add fixings as required.

Expiry Dates & Rates window for a forward strip

A forward strip consists of a group of forwards. Initially all these forwards are the same, with the exception of the settlement date. Once you have defined the strip, you can then see the following data for each underlying forward in the Expiry Dates & Rates window:

Settlement date

By default each forward's settlement date is set to the exchange date. For a listed asset (i.e., an exchange traded asset), the exchange date used is the expiry date of the asset's exchange traded future.

You can:

Edit the settlement date for each underlying instrument individually by using the relevant textbox for that instrument.

Change the settlement dates of all the underlying instruments simultaneously to the same date by using the empty textbox at the top of the Settlement dates column.

Shift the settlement dates of all the underlying instruments backwards or forwards by the same number of business days. To move all the settlement dates forward by a certain number of business days enter the number or + and the number. To move all the settlement dates backwards by a certain number of business days enter - and the number.

Volume

You can edit the volume of any underlying forward that has not yet been settled. Once you have changed the volume you can then click the Accept button in the Expiry Dates & Rates window to save the changes and use them in pricing the instrument. Subsequently in the pricing page the total volume value is updated accordingly.

Forward rate

This defines the forward rate for each underlying forward.

Cash flow

This data is the amount that is to be paid on the settlement date. It is calculated as the swap rate - the traded rate (or strike) x volume in units.

For a forward that has been settled the cash flow is realized, that is, the calculation is final; for a forward that has not yet been settled the cash flow is unrealized, i.e., the actual forward rate used in the final calculation may be different, therefore the amount is an estimation only.

Expiry Dates & Rates Window for a European Binary Strip

A European binary strip is simply a strip of European binary options. Once you have defined the strip, you can then see information on the underlying instruments in the strip via the Expiry Dates & Rates window. The following data is available:

Expiry date

Settlement date

By default each instrument's settlement date is set to the exchange date. For a listed asset (i.e., an exchange traded asset), the exchange date used is the expiry date of the asset's exchange traded future.

For any underlying instruments that have not yet expired, you can edit these dates as follows:

Edit the settlement date for each underlying instrument individually by using the relevant field for that instrument.

Change the settlement dates of all the underlying instruments simultaneously to the same date by using the empty textbox at the top of the Settlement dates column.

Shift the settlement dates of all the underlying instruments backwards or forwards by the same number of business days. To move all the settlement dates forward by a certain number of business days enter the number or + and the number. To move all the settlement dates backwards by a certain number of business days enter - and the number.

Payout

For each instrument that has not yet expired, you can edit its payout. After making any changes to the data, you can then click the Accept button in the Expiry Dates & Rates window to save the changes and use them in pricing the instrument.

ATMF Vol

For each instrument that has not yet expired, you can edit its ATMF volatility. After making any changes to the data, you can then click the Accept button in the Expiry Dates & Rates window to save the changes and use them in pricing the instrument.

Futures

For each instrument you can edit the futures price for each expiry date. After making any changes to the data, you can then click the Accept button in the Expiry Dates & Rates window to save the changes and use them in pricing the instrument.

Market price %

This displays the market price as a % for the each underlying instrument individually.

Expiry Dates & Rates Window for a Forward Strip

A Forward Strip is simply a strip of Forward instruments.

Once you have defined the strip, you can then see information on the underlying instruments in the strip via the Expiry Dates & Rates window. The following data is available:

Expiry date

Settlement date

By default each instrument's settlement date is set to the exchange date. For a listed asset (i.e., an exchange traded asset), the exchange date used is the expiry date of the asset's exchange traded future.

For any underlying instruments that have not yet expired, you can edit these dates as follows:

Edit the settlement date for each underlying instrument individually by using the relevant field for that instrument.

Change the settlement dates of all the underlying instruments simultaneously to the same date by using the empty textbox at the top of the Settlement dates column.

Volume

You can edit the volume of any underlying forward that has not yet been settled.

Once you have changed the volume you can then click the Accept button in the Expiry Dates & Rates window to save the changes and use them in pricing the instrument. Subsequently in the pricing page the total volume is updated accordingly.

Forward rates

Cash flow

This is the amount that is to be paid on the settlement date. It is calculated as the swap rate - the traded rate (or strike) x volume in units.

For settled forwards the cash flow is realized, that is, the calculation is final; for non-settled forwards the cash flow is unrealized, i.e., the actual swap rate used in the final calculation may be different, therefore the amount is an estimation only.

Only unrealized cash flows are included in the calculation of the present value of a forward strip.