In SDX Interest Rates in the Settings window (see Customizing SDX Interest Rates) you can customize the behavior of the cap/floor instrument.
You can:
Define the start date of the first coupon in the instrument. See Customizing the Start Date of a Cap/Floor.
Choose to display the premium as an amortized value in the Results area. You do this using the Display Amortize Premium checkbox. See Displaying the Cap/Floor Premium as an Amortized Value .
You do this in the Settings window > Option/ Swap tab > Options tab > Cap/Floor area.
Customizing the Start Date of a Cap/Floor
For a cap/floor you can define the start date of the first coupon in the instrument.
You can choose either of the following:
Today + Frequency
So if the frequency is set to quarterly, then the start date of the first coupon will be the spot date (i.e., the trade date) + 3m; if it is semi annual, the start date will be the spot date + 6m.
This is the default setting.
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If you have configured the Cap/Floor 1st Fixing setting to "Today + Frequency", and in the pricing page after defining the tenor you then edit the frequency used, the system automatically updates the start date accordingly. That is, the start date is automatically edited to take account of the new frequency setting. It is important to note though that if you manually enter the start date, subsequently changing the frequency setting will not affect the start date. |
Today
This is the spot date, i.e., the trade date.
To customize the cap/floor:
| 1. | Access the Settings window. See Accessing the Settings Window. |
| 2. | From the View Profile Settings dropdown list select the profile you want to see the settings for. |
| 3. | In the Option/ Swap tab click the Options tab. |
| 4. | In the Cap/Floor area in the Cap/Floor 1st Fixing dropdown list select the relevant setting. |
| 5. | If you are in: |
The SD profile you can save these changes to your MyProfile profile (by clicking the Save as MyProfile button and then clicking Yes) or to a public profile (by clicking the Save as Profile button, entering a profile name and user group, and then clicking Save and then OK).
A public profile you can save these changes to your MyProfile profile (by clicking the Save as MyProfile button) or to the current public profile (by clicking the Save as Profile button and then Save and then OK).
Your MyProfile profile you can only save these changes to your MyProfile by clicking the Save as MyProfile button and then clicking Yes.
The changes are saved.
| 6. | When you close the window to immediately apply the changes to the current page click Yes. The changes are applied. |
Displaying the Cap/Floor Premium as an Amortized Value
In return for the protection offered by a cap/floor, its buyer pays a premium to the seller which can be paid either upfront or in installments over the life of the cap/floor. In SDX Interest Rates the amount to be paid in installments is displayed in the Amortize Premium p.a. (%) result. However, this result is not displayed in the pricing page in the Results area by default. That is, if you want to see it you must customize the system accordingly.
You can choose to display the premium as an amortized value in the Results area. You do this using the Display Amortize Premium checkbox.
This feature is supported for the following instruments:
Cap/floor
Cap/floor strategies
General cap/floor
General cap/floor straddle
Quanto cap/floor
Quanto cap/floor straddle
To customize the cap/floor:
| 1. | Access the Settings window (see Accessing the Settings Window). |
| 2. | Select the profile you want to see the settings for. |
| 3. | In the Option/ Swap tab click the Options tab. |
| 4. | In the Cap/Floor area check or uncheck the Display Amortize Premium checkbox as relevant. |
| 5. | If you are in: |
The SD profile you can save these changes to your MyProfile profile (by clicking the Save as MyProfile button and then clicking Yes) or to a public profile (by clicking the Save as Profile button, entering a profile name and user group, and then clicking Save and then OK).
A public profile you can save these changes to your MyProfile profile (by clicking the Save as MyProfile button) or to the current public profile (by clicking the Save as Profile button and then Save and then OK).
Your MyProfile profile you can only save these changes to your MyProfile by clicking the Save as MyProfile button and then clicking Yes.
The changes are saved.
| 6. | To immediately apply the changes to the current page click Yes. The changes are applied. |