Description

Defines the start date of the coupon’s period. It is editable.

For more information on this field see Start Date.

Displays the actual number of days used in the interest rate/implied rate calculation.

This is calculated according to the day count basis defined in the pricing page.

This defines the fixed real interest rate that is paid on an inflation-adjusted notional. For more information see Real Rate.

Displays:

For a future date what the market thinks the defined inflation index (or CPI) will be on each coupon’s payment date.

For a historical date what the actual inflation index was on that coupon’s payment date.

Defines the margin for a double period loan. This is the amount to be added to each coupon rate of both periods, i.e., to the fixed rate in the first period and the floating rate in the second period, to calculate the payout. If you leave this field blank in the pricing page, in the Cash Flow Dates window the system calculates the margin that will give a swap NPV of zero. This means that there will be no upfront payment, but that instead there will be a fixed annuity that amortizes the upfront payment over the life of the structure.

Defines the mid fixed rate to be paid or received for each individual coupon. For more information on this field see Fixed Rate.

If you update the fixed rate for individual coupons, when you click Accept the Fixed Rate field or the Market Rate button in the pricing page (as relevant to the instrument type) will display a Variable value. For more information on this feature see Manually Adjusting Values for Individual Coupons

For:

Most instruments, for a future fixing date this column defines the forward rate (which is taken from the yield curve).

For a historical fixing date (i.e., any fixing date that is the same as or prior to the trade date) the forward rate is replaced with the actual fixing rate. However, if a trade is carried out prior to the day’s fixing time then the previous fixing rate (i.e., of the previous business day) is used until the new one is published. For a historical fixing date, the displayed rate is also editable.

For a YoY Inflation Cap or YoY Inflation Floor, the implied rate is the expected % change in the year-over-year inflation rate.

This column defines the inflation index expected on the caplet/floorlet’s end date.

Defines the cap for the floating rate used for the coupon payments in the second payment period of a double period loan.

You must enter this amount manually in the pricing page.

For a future fixing date this column defines the forward rate (which is taken from the yield curve).

For a historical fixing date (i.e., any fixing date that is the same as or prior to the trade date) the forward rate is replaced with the actual fixing rate. However, if a trade is carried out prior to the day’s fixing time then the previous fixing rate (i.e., of the previous business day) is used until the new one is published.

For a historical fixing date, the displayed rate is also editable.

Defines the value by which the index is multiplied in the payout formula. As the index is always multiplied by a leverage factor, if you want to just use the floating rate, set the index leverage to 1.

It cannot be a negative value

Defines the maximum coupon payment that can be made, regardless of the value of the coupon payout.

Defines the bottom of the range within which the observed fixing must fall.

The default value for this column is set in the Low Barrier/Lower Barrier/Low Trigger field in the pricing page.

Defines the notional amount (in the defined currency) on which the interest (whether fixed or floating) is to be paid.

By default this is the notional entered for the instrument in the Single Option or Portfolio page.

Displays the inflation-adjusted notional for this coupon.

This is calculated as follows:

notional x (change in inflation index measured from the instrument's start date or, if relevant, from the last accretion payback payment date to the coupon’s end date)

Lets you activate an accretion payment for each interim coupon in the instrument. You do this by checking the checkbox for each relevant coupon.

This functionality is useful as it lets the receiver of the leg reduce the credit risk of its counterparty not being able to pay the CPI change on the notional in full on the last coupon’s payment date.

The accretion payment cannot be disabled for the last coupon.

Defines the discount factor used to convert the payment amount (displayed in the Cash Flow column) to the present value (displayed in the Cash Flow PV column).

This factor is obtained from the yield curve for the defined tenor. See Yield Curve for more details on the Yield Curve page.

The present value of the cash flow, discounted by the discount factor.

Defines the total payment.

For most instruments the total payment amount is calculated as follows:

The interest payment (as shown in the Cash Flow column) + the principal payment amount

However for a:

Double period loan, this amount shows the total that will be paid or received, i.e., it includes both the cashflow and the margin.

Cross currency swap where there is an exchange of notionals on the end date, the total payment amount for the last coupon is simply the cash flow amount This is because the cash flow amount for the last coupon has already taken into account the exchange of notional which is carried out at the end of the deal.

Defines the Margin as an amount.

Displays the start of the period used in the calculation of the implied rate from the yield curve.

This information is important as the implied rate’s reference dates are not always the same as the actual coupon dates. For instance, they are different if the coupon's fixing date is not the default value, if you have in arrears fixings, and if the index tenor is different then payment frequency tenor (for example, you have semi annual payments and 3m libor index fixings).