Description

This button does all of the following:

Calculates the coupons to take all changes into account.

In addition, for a swap, if you have changed the notionals of one of the leg’s coupons using either the Increase or Decrease options in the Notional Per Fixing field, when you then click the Accept button the system asks if you want to automatically apply those changes to the other leg as well.

Closes the Cash Flow Dates window.

Updates the various fields in the pricing page as relevant.

Calculates the coupons to take all changes into account.

In addition, for a swap, if you have changed the notionals of one of the leg’s coupons using either the Increase or Decrease options in the Notional Per Fixing field, when you then click the Accept button the system asks if you want to automatically apply those changes to the other leg as well.

Lets you copy the following data from the Cash Flow Dates window to Excel:

Coupon dates
For more information see Copying & Pasting Coupon Dates in the Cash Flow Dates Window.

Notionals, fixed rates or spreads
For more information see Copying & Pasting Notionals, Fixed Rates & Spreads in the Cash Flow Date Window.

Defines the end date of the instrument. For more information on this field see See "End Date".

Updating these fields in the Swap Cash Flow Dates window automatically updates the fields in the pricing page.

Lets you define the length of the first stub.

This field is only enabled if you choose to split the stub period over the beginning and end of the instrument. To do this you must choose a setting for both the First Stub and the Last Stub fields.

Lets you instruct the system to adjust the notionals using one of a number of different methods as follows:

Unchanged

Increase

Decrease

Annuity Loan

Serial Loan

Custom

Which methods are available depends on the current instrument. For more information on these methods see Adjusting the Notional for Each Coupon.

This dropdown list is only displayed if the calculation of the current instrument supports changing the notional per coupon.

Lets you define whether the notional for each coupon will be increased/decreased by a specified amount or by a specified percentage.

Displays the annuity rate.

Specifies how the system adjusts dates when they cannot fall on a non-business day. You can choose any of the following conventions:

Following
This means the transaction will be delayed to the next business day.

Modified Following
This means the transaction will be delayed to the next business day. However, if the next business day falls in the next month, the transaction is instead moved to the last business day of the current month.

Preceding
This means the transaction is moved to the nearest preceding business day.

Modified Preceding
This means the transaction is moved to the preceding business day. However, if that day is in the previous month, the transaction is moved to the first business day of the current month.

For more information on when the roll convention is applied see Configuring the Roll Convention.

Defines when the payment for each period should take place. Two methods of specification are available and are selected using the toggle button:

Offset: Defines that the payment should be made a fixed number of days after the end of the period. You select the number of days by which to offset the payment from the drop-down list.

Day Roll: Defines that the payment should be made on a fixed date each month, such as the 3rd of the month or EOM (which sets the payment date to the last business date of the month), etc. You select the fixed date from the dropdown list.

By default, the Offset method is selected and the offset is set to zero days, i.e., the payments are to be made on the last day of the period.

Lets you control how the rate for the floating leg’s stub coupon(s) is set.

If this checkbox is checked, then:

For a historical fixing rate, SD interpolates the rate for the floating leg’s stub period based on the instrument’s reference rate fixings (by checking the checkbox) or to set it to the defined index rate instead (if the checkbox is unchecked).

For an implied rate (i.e., a future fixing rate), SD interpolates the rate based on either one or two yield curve(s), as relevant for the given stub period. So, for example, if the stub period is 2 months, SD uses both the 1M and the 3M yield curves; if the stub is for more than a year, SD uses only the 12M curve, etc.

If this checkbox is unchecked, then:

For a historical fixing rate, SD sets the rate for the floating leg’s stub period to the defined index rate (instead of interpolating it).

For an implied rate, only a single yield curve is used.

For more information on this functionality see Specifying a Stub Policy for Instruments of Uneven Maturities.

This field specifies which financial centres’ holidays to consider when calculating fixing dates, i.e., on which holidays the fixing dates cannot fall.

The financial centre selected by default is linked to the currency defined in the pricing page. However, you can then edit the settings and choose multiple countries if required.

For an explanation of the listed shortcuts see Holiday Shortcuts.

Lets you define the frequency of the payment periods for the fixed/floating rate.

For more information on this field see Payment Freq..

Lets you choose to allow yourself increased flexibility when defining the individual payment dates of a general swap’s fixed leg.

In this mode, the system:

Only ensures that a coupon's payment dates are sequential, that is, it checks that a payment date does not fall prior to the previous coupon’s payment date or after the next coupon's payment date.

Does not adjust a coupon’s end date to match the payment date.

For more information on this feature see Configuring Payments for a General Swap’s Fixed Leg.