button next to the ShortCut (Schedule) field in the pricing page itself. When entering some instruments, instead of manually entering the duration of the underlying instrument(s), you can also set the duration using a duration shortcut.
You can set duration shortcuts for the following instruments: vanilla strip, vanilla strip strategy, Asian, Asian strip and an Asian strip strategy, OTC spread strip, swap, swap strips and swaptions. However, which duration shortcuts can be used depends on the type of instrument. As listed in Table 1 a duration shortcut can be used for all these instrument types, unless noted otherwise.
For all strips, you specify the duration in the Shortcut (Schedule) field; for swaptions and swaps, you specify the duration in the Swap Term field. For Asians, you enter the duration in the Expiry field.
Once you have entered the shortcut, the following fields are set automatically as relevant:
Begin Date and End Date fields
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The Begin Date field is set to the beginning of the period specified by the shortcut, even if that date occurred in the past. So for example, if in April 2008 you specified a shortcut of cal08, the Begin Date field is now set to the first trade date in January 2008, and the End Date field would be set to the end of 2008. |
The actual expiry dates of the individual instruments are set according to both the duration and the expiry frequency chosen.
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For a list of shortcuts to use when entering an option on electricity prices, see Using Shortcuts for Electricity Assets, Coal Assets and NBP UK Natural Gas. |
To use a shortcut to define a strategy's duration:
In the Pricing page enter the shortcut code for the strip's duration in the ShortCut Schedule/Swap Term/Expiry field as relevant.
List of Shortcuts For a Strategy's Duration
See Table 1 for a list of the duration shortcuts. Alternatively, to see this list in the system itself, click the button next to the ShortCut (Schedule) field in the pricing page itself.