Copying & Pasting Coupon Dates in the Cash Flow Dates Window

In the Cash Flow Dates window (Working With the Cash Flow Dates Window) you can copy and paste coupon dates. For information on copying and pasting notionals, fixed rates and spreads see Copying & Pasting Notionals, Fixed Rates & Spreads in the Cash Flow Date Window.

This means that you can copy the data in the Cash Flow Dates window and then paste it into Excel (using the Copy button) or copy the data in Excel and paste it into the Cash Flow Dates window (using the Paste button).

This is especially useful for complex, non-standard structures, as it will save you from having to structure the cashflow manually in the window. By facilitating the copying and pasting of data to and from Excel, users can easily price their configured trades and avoid operational errors.

This functionality is only available for the general swap and the general cap/floor.

For these supported instruments you can now copy and paste the following coupon dates (as relevant for the instrument and leg type):

Start date

End date

Payment date

Fixing date

When pasting these dates, it is important to note that the following rules apply:

The start date and end date must be included in the paste action. That is, you must paste one of the following groups:

All four supported dates

Just the start date and the end date

The start date, end date and payment date

The start date, end date, payment date and fixing date

So for example you cannot paste only the start date or only the end date, nor can you paste a fixing date without also pasting the coupon's start date, end date and payment date.

When pasting multiple columns, the paste order is as follows:

The first column of copied dates is pasted into the Start Date column

The second column of copied dates is pasted into the End Date column

The third column of copied dates is pasted into the Payment Date column

The fourth column of copied dates is pasted into the Fixing Date column

When pasting a coupon’s start and end date, the pasting of its payment and fixing date from Excel is optional. However, it is important to note that if you do not paste the payment and/or fixing date, when you paste the other dates the system automatically calculates the missing date(s) accordingly (as well as the number of days per coupon).

The system calculates a missing fixing date using the fixing delay setting and a missing payment date using the payment offset setting.

The pasted dates must be in a supported Excel date format.

Pasting dates into the cash flow always overwrites the existing coupons. So if in the Cash Flow Dates windows:

There are already six coupons and you then paste three rows of dates (i.e., for three coupons), the resultant cashflow will only contain three coupons.

There are already six coupons and you then paste ten rows of dates (i.e., for 10 coupons), the resultant cashflow will contain 10 coupons.

During the paste action itself there is no validation of the inserted dates. However, when you click the Calculate or Accept button the system does check that the cashflow is valid. For example, it checks that the end date is not before the start date, that the payment date is not before the start date, etc.

After pasting dates into the Cash Flow Dates window to save changes to the cash flow click Accept. In the pricing page, the instrument’s start and end date are updated, but the original definition (such as the frequency or the actual tenor) is not changed.

It is important to note that after you have pasted dates for one or more coupons, the system behaves as if you had made manual changes to a coupon's input data. That is, it will remove all calculated fields (including the Discount Factor, the Cash Flow, the Cash flow PV, the Principal Payment and Total Payment columns, etc., as relevant) for all the displayed coupons. You must then click the Calculate button to recalculate the coupons’ results.

After you paste dates, if the Notional per Fixing setting was set to either Annuity Loan or Serial Loan then it is reset to Unchanged.

To copy coupon dates from the Cash Flow Dates window into Excel:

To paste coupon dates into the Cash Flow Dates window from Excel:

If you click the Start Date column, the End Date column is also highlighted; if you click the End Date column, the Start Date column is also highlighted; if you click the Payment Date column, besides the Payment Date column the Start Date and End Date columns are also highlighted; if you click the Fixing Date column the other three date columns are also highlighted.