Using the Daily Volume Functionality

By default, for each instrument you define a single quantity of the commodity to be bought, sold or swapped (depending on the instrument type).

For a swap or swap strip, you simply enter an amount in the Volume field.

For options there is a cross-dependency between the Volume field and the Notional field; that is, if you enter an amount in one, the other field is then automatically updated. If you enter a volume this amount is multiplied by the strike to give the notional; if you enter a notional this amount is divided by the strike to give the volume.

Moreover, for a swap, vanilla strip or an Asian strip, the amount entered indicates the quantity to be bought/sold for each individual coupon in the swap or strip. This data can then be edited on an individual basis in the Expiry Swaps window.

In addition to the default single volume definition you can instead choose to define the volume as a daily volume.

This is only available if you have activated the feature via the Customize window. Subsequently, you will see a toggle button that lets you choose how to define the volume (as shown in See "Toggling between the Volume and Daily Vol ").

Figure 1: Toggling between the Volume and Daily Vol

 

For a multi-asset instrument in the Portfolio page you must define a volume in units. Therefore, when you enter such an instrument in that page the system tells you that it will need to disable the Daily Vol button for all deals in this portfolio and to set the Units <> Lots toggle button to Units. You have the choice not to continue.

How are the total daily volumes determined for each instrument?

For:

Swaps, swap strips, Asian, Asian strips and swaptions, the volume entered in the Daily Volume field is multiplied by the number of calendar days from the 'Begin Date' until the 'End Date' for each underlying exposure.

 

The Begin Date and End Date is not displayed for all of these instruments.

For all other instruments, the volume entered in the Daily Volume field is multiplied by the number of calendar days for the month of the exposure selected.

 

The volume calculated is irrespective of the number of fixings defined.

To activate the Daily Volume functionality:

1. On the ribbon bar in the Home tab click the Settings button.
2. In the Customize window in the Default Settings tab > Show Daily Volume dropdown list click Yes.
3. Click the Save button.
4. Click OK.
5. Click the window. The next time you enter the system, or after refreshing the page by clicking <F5>, you will see a toggle button for defining the volume.