When defining a Swaption you must define its expiry date (i.e., the date on which the owner can choose to enter into the swap) and the duration of the underlying swap. In SDX Interest Rates you can do this by entering a time period shortcut for both the expiry date and the duration of the underlying swap. For example, you can enter 3m7y or 2y5y. The first shortcut always indicates the expiry date, the second always indicates the duration of the underlying swap.
When entering the expiry for a swaption you can do any of the following:
Specify the time until expiry. For example, enter 2Y to set the expiry date for two years’ time.
Specify the date of expiry. For example, enter 2 Jan 2010 to set the expiry date as that date.
Specify the time until expiry and the duration of the swap.
For example, to specify that the option to enter into a 5 year swap will expire in 2 years time enter 2Y5Y. The Start Date and End Date fields will be calculated automatically, and the Expiry field will show the expiry date of the option and the Swap Term shows the duration of the swap.
For a forward swaption you can enter the following format— xxyyzz (for example, 3m6m1y) where xx is the swaption’s expiry, e.g., 3m, where yy is the forward starting period of the underlying swap, e.g., 6m, and where zz is the swap term, e.g., 1y.
Additionally, for a swaption on Brazilian Real (BRL) you can also set the date(s) using one of the futures expiry shortcuts together with a 2-digit number to indicate the year. For more information on this functionality see Using a Futures Expiry Shortcut for a Brazilian Real Instrument.