For a gas formula swap, the Parameter Rates & Fixings window provides information on all the parameters in the selected gas formula that involve fixings.
For example, in See "Parameters with Fixings in the Parameter Rates & Fixings Window ", you can see that there are two parameters which involve fixings.
Figure 1: Parameters with Fixings in the Parameter Rates & Fixings Window
For a gas formula swap you access this window by clicking the Parameter Rates & Fixings button in the pricing page; for a gas formula swap strip you access it by clicking the Parameter Rates & Fixings link next to the swap in the Expiry Dates & Rates window (which is itself accessed by clicking the Settlement Dates button in the pricing page).
In the window, for each parameter with fixings that is used in the underlying gas formula you can see the following:
The parameter name.
The asset for which fixings are taken.
The observation period.
The actual fixing rate used in the gas formula.
For example, for an FX Rate parameter you will see the FX spot rate taken on the date chosen; for an FX Rate Average parameter, there will be daily FX spot fixings for the defined currency pair over the specified observation period; for a Commodity parameter you will see the average of all fixing rates for the chosen commodity over the selected observation period.
For each displayed rate, to see the actual underlying fixing dates and rates click the parameter's Fixings link which opens the Fixings Details window.
|
|
You will only see a rate if you calculated the instrument before accessing the Parameter Rates & Fixings window. |
If all fixings rates needed for the parameter have been measured, then the row appears in gray. However, if some fixing dates have not yet been reached, then the row appears in blue.
Why is it necessary to see the parameters' fixings information? The fixings information lets you see where the data used to calculate the gas formula rate is coming from.
What can you do in the Parameter Rates & Fixings window?
In the Parameter Rates & Fixings window you can:
See all the parameters with fixings that are used in the gas formula.
See the underlying fixings details for each parameter displayed.
You do this in the Fixings Details window, which is accessed by clicking the Fixings link for each parameter.
It is important to understand that any changes made in the Fixing Details window only affect the gas formula used for the current instrument only, and do not affect the original gas formula.