Lets you price supported instruments in a quick and easy way using a set of predefined parameters, each separated by one or more spaces.

For more information on using the Shortcut field, see Pricing an Instrument Using the Shortcut Free Text Field.

Defines the trade date.

This field defaults to the current date. Use the up and down arrows to change the date, or enter it manually.

You can enter the date:

Using the up and down arrows.

Manually.

Entering a date shortcut. See Using Shortcuts for Dates.

If you select a:

Historical date, then the market rates saved for the currency’s selected cut-off time on that date are used. For more information on selecting a cut-off time per currency for use in historical pricing see Customizing the Market Rates Cut-off Time per Currency for Historical Pricing.

Future date, then the current market rates are used, unless in the current session you have edited the rates for the Live Rates cut off and accepted them. If that is the case, the edited rates are used until you remove any changes by clicking the Refresh button.

Lets you choose the instrument from a dropdown list or enter its shortcut code. For a list of the shortcut codes see Selecting an Instrument Using a Shortcut.

Once you have selected an instrument, SDX Interest Rates displays the relevant fields (and populates them as required).

The three most common instruments (Vanilla Swap, Swaption and Cap/Floor) are displayed at the top of the dropdown list for easy access.

Defines the duration of the underlying swap.

For a:

Swap you can define the duration of the swap. For example, you can enter 2Y for a two-year swap.

Forward starting swap you can define both the duration of the swap and when the swap should start. For example, to specify that a swap of 5 year duration will only start in 2 years’ time, enter 2Y5Y. The Start and End Dates will be calculated automatically, and the Swap Term field will show only the duration of the swap.

Swaption you can define the duration of the swap and the expiry of the instrument. For example, to specify that the option to exercise a swap of 5 year duration will expire in 2 years’ time, enter 2Y5Y. The system then automatically populates the Swap Term, Expiry, Start Date and End Date fields accordingly.

For a double period loan you define the first and second period. You can define it in the format of 3y2y, whereby 3y defines the first period and 2y defines the second period. Or for a forward starting trade you can define it in the format of 3m1m2m. That is, 3m defines when the trade should start, 1m defines the first period and 2m defines the second period.

An instrument priced on the Brazilian real (BRL) or the Brazilian real (offshore) (BRR), instead of defining a tenor you can use a futures expiry shortcut together with a date.

See also Using Shortcuts for Dates.

For a:

Cap/floor this field defines the instrument’s expiry.

Forward rate agreement this field defines the instrument’s duration.
However, for this instrument you cannot use it directly to define the duration; rather, you use it to define the start date, end date and fixing date. For example, to specify that the underlying loan is to start in 3 months time and expire in 9 months time, enter 3m9m. The Start Date, End Date and Fixing Date fields are automatically calculated, and the Tenor field shows the duration of the loan.

Loan this field defines the instrument’s duration.

CMS spread option this field defines the instrument’s expiry.

See also Using Shortcuts for Dates.

Defines a bond identifier code which is then used during the deal capture process.

By default the code is automatically assigned by SD, but you can then manually edit it.

Defines the bond’s maturity date.

Tells the system that the end dates of the underlying swaps should follow the cycle of IMM (International Monetary Market) futures and s. That is, the underlying swaps must terminate on the IMM dates (i.e., the third Wednesday of the last month in each quarter, i.e., the third Wednesday of March, June, September and December).

For more information see the IMM Swap.

Defines the duration of the bond being priced.

See also Using Shortcuts for Dates.

For some instruments this field defines whether the instrument is actually callable or non-callable.

For some instruments this field defines if it is callable on one date (i.e., a European style) or on multiple dates (i.e., a Bermudan style).

Displays the spot rate for the currency pair used in this instrument. The spot rate, which is always displayed according to market convention for the currency pair, is used in the pricing of the instrument.

It is important to note that even if the instrument’s start date is in the past or in the future, by default this field displays the spot rate for the defined trade date.

In a cross currency swap this field is linked to both the Notional fields. For more details see Pricing a Cross Currency Swap in SDX Interest Rates and Recalculating the Second Notional in a Cross Currency Swap.

For a:

Swaption this field defines the fixed rate to be used for the underlying swap.

A cap/floor this field defines the cap or floor of a cap/floor.

By default the strike defined here is used for each underlying coupon. However, you can edit the strikes used for each individual coupon in the Cash Flow Dates window (see Manually Adjusting Values for Individual Coupons). If different strikes are set for the individual coupons, the Strike field in the pricing page displays a Variable button (which lets you subsequently reset the strikes for all the underlying coupons to the original value).

A strike can be defined in a number of ways. For more details, see Defining a Strike.

Defines the index and, depending on the instrument type, the tenor to be used in the instrument.

For example, for a swaption it defines the index to be used to fix the floating rate, for a cap/floor it defines the index to which the strike is compared, etc.

The indexes listed in the dropdown list depend both on the instrument being priced and the selected currency. For example, when the currency is set to USD you can only select LIBOR (London Interbank offered rate) and when currency is set to EUR you can only select EURIBOR (EURO Interbank offered rate).

For a snowball and reverse snowball the defined index is used for any floating coupons and for any path dependent coupons. It is always multiplied by a leverage factor; accordingly, if you want to just use the floating rate, you should set the index leverage to 1. Also the index chosen must match the fixing frequency selected for the structured leg of the instrument.

Displays the inflation lag used for the selected index.

When you define the instrument’s swap tenor, the system
automatically displays the default inflation lag for the selected index. However, you can then edit this value if required. This lets you instruct the system to price the instrument using a non default inflation lag.

Defines the fixing rate of the first coupon for the floating leg of both a vanilla swap and a general swap.

This means that you can easily see the fixing rate of the first coupon without having to access the Swap Cash Flow Dates window. In addition you can also easily edit it using this field, as long as the fixing date is the same as or prior to the trade date. You can of course still edit it in the Implied Rate column in the Swap Cash Flow Dates window.

This field is not displayed for all users by default. To activate it for your user you must contact [email protected].

Defines the long-term capital market rate to be used.

This defines the percentage of the notional that will be paid if there is a payout. It is defined in annual terms.

This defines the fixed real interest rate. For more information see Real Rate.

For:

Most instruments this field defines the end date.

For a swaption it defines the end date of the underlying swap.

In the Portfolio page for an American swaption this field lets you specify the swap end date, i.e., the expiry date of the American swaption’s underlying swap.

For a cash flow it defines the date on which the cash flow is to be paid or received.

By default it is filled in by the system when you enter a swap term, tenor or expiry. However, you can also enter the date:

Using the Calendar icon.

Manually.

Entering a date shortcut. For more information see Using Shortcuts for Dates.

In certain circumstances (and of course depending on the instrument) defines the frequency of both payment dates and fixing dates, or both payment dates and compounding dates.

See also Payment Freq., Fixing Freq. and Compound. Freq..

Defines the frequency on which fixings need to be set. This data is used to set the fixings dates.

For most instruments the fixing and payment frequencies must be the same. However:

For a vanilla swap, a zero coupon swap and an IMM swap, once you have enabled the Compounding feature for the floating leg (by selecting an option from the Compounding dropdown list), you can then set the fixing (or compounding) frequency to be greater than the leg’s payment frequency.

For a cross currency swap, if you have set the type of floating legs to General, the payment and fixing frequencies do not need to be the same.

Defines which convention is used to count the days in the period between two dates and to calculate the length of a period when the number of days is a fraction of a normal period.

Day count conventions differ in assumptions on the number of days in a year as well as the number of days in a month.

The basis or convention consists of two terms, for example, Actual/360 or Day/252. The first term defines the assumed number of days in a month; the second term defines the assumed number of days in a year.

The following conventions are supported:

Actual/Actual (ISDA)

Actual/Actual (ISMA)

This is the same as Actual/Actual (ICMA).

Actual/Actual (AFB)

30/360

30E/360

30/365

Actual/360

Actual/365

Actual/366

TIIE 28

Day/252

Defines the type of compounding you want to apply to any defined spread on the OIS leg.

You can choose either of the following:

None

This means that SD first computes the compounded OIS daily rate and only then adds the spread to this value.

Spread

This means that SD first adds the spread to the daily OIS rate and only then compounds it.

Defines the bond price.

Depending on the actual bond, this is either the Clean Price or the Dirty Price.

Defines the margin (which 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) for a double period loan. It is needed in order to calculate the instrument’s payout.

You can define this value yourself in basis points. Alternatively, if you leave it blank, when you click the Calculate button the system calculates the margin that will give a swap NPV of zero.

A swap NPV of zero means that there will be no upfront payment, and that instead there will be a fixed annuity that amortizes the upfront payment over the life of the structure.

For most instruments it defines the notional amount (in the defined currency) on which the interest (whether fixed or floating) is to be paid.

By default the amount set here is used for each coupon. However, you can edit the notional used for each individual coupon in the Cash Flow Dates window (see Adjusting the Notional for Each Coupon). If different notionals are set for individual coupons, the Notional field in the pricing page is replaced with the Current Notional field and it displays a Variable button (which lets you subsequently reset the notionals for all the underlying coupons to the original value).

For a cash flow it defines the actual cash flow to be paid or received on a future date.

In both instances (whether it is a notional or the cash flow) it can be defined with up to two digits after the decimal point—which are not subsequently rounded.

In a cross currency swap this field is linked to both the Spot field and the other Notional field. For more details see Pricing a Cross Currency Swap in SDX Interest Rates and Recalculating the Second Notional in a Cross Currency Swap.

In an UDI swap and an UF swap this field is linked to both the Start UDI or Start UF field and the other Notional field. For more details see Pricing an UDI Swap in SDX Interest Rates and Pricing an UF Swap in SDX Interest Rates.

Defines the collateralization method to be used for this instrument.

For more information on this functionality see Using Collateralization .

Lets you defines the percentage of the specified notional that will be paid out if the option is in the money on the coupon’s expiry.

Therefore for each fixing that the option is in-the-money the holder receives:

(notional * payout %) * relevant daycount fraction

You can specify any value from 0.01% to 99.99%.

Defines if and when notionals are to be exchanged in a cross currency swap.

You can specify that notionals should:

Be exchanged on the start date only.

Be exchanged on the end date only.

Be exchanged on both the start and end dates.

Not be exchanged.

This dropdown list is only displayed for a cross currency swap, a cross currency real rate swap, and cross currency linked swaps.

Defines the date on which the single reference rate fixing for a Forward Rate Agreement (FRA) is taken.

Defines the fixed rate as a percentage. This rate is then used to calculate the instrument’s payout.

For a:

Swaption it displays the forward rate of the underlying swap for the specified expiry date.

YoY inflation cap/floor it displays the implied year over year inflation rate for the tenor.

Defines the quanto adjusted forward rate for the quanto currency.

Displays the mid-rate normal volatility for an ATMF option for the chosen trade date.

The normal volatility shows the expected future fluctuations in terms of basis points rather than in terms of the logarithmic returns. That is, it is calculated on pure sample data that is assumed to be normally distributed. This volatility is also referred to by market practitioners as the “bp Vol”.

Displays the Market Normal Vol , i.e., the normal volatility, that is used to price the instrument for the defined strike.

For a swaption, forward swaption and swaption strategy you can also enter your own market normal volatility and then re-calculate the Greeks and various values it also lets you enter your own bid/ask spread for the market normal volatility and then recalculate the instrument. For more information see Changing an Options’s Volatility.

This field displays the mid-rate normal volatility for an ATMF instrument for the chosen trade date.

It is only displayed for a swaption, swaption strategy and forward swaption, and a cap/floor instrument.

It is only displayed after you click the Calculate button.

For a cap/floor this result is a read-only value.

For the payer/receiver/cap/floor this field defines the volatility (i.e., the log normal volatility) for the defined width from the ATM volatility.

It is displayed either as an absolute amount or as a spread from the ATM volatility, depending on the Volatility <> Vol Spread vs. ATM button.

For more information see:

Viewing & Editing the Swaption Volatility Skew for Individual Instruments .

Viewing & Editing the Cap/Floor Volatility Skew for Individual Instruments.

Lets you edit the market volatility.

For more information, see Changing an Options’s Volatility.

In the Portfolio page:

For a Bermudan Swaption it defines the first date on which the swaption can be exercised.

For an American swaption it serves as the lockout end date, i.e., the first date on which an American swaption can be exercised.

For a callable swap it serves as the first effective call date.

Defines the expiry date of the American swaption’s underlying swap.

Because the underlying swap is set to a swap with a fixed end date, the actual length of the swap depends on when you enter into it. The swap’s duration is calculated from the date you exercise the swaption until the fixed end date set in the Swap End Date field.

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

Defines the factor by which the floating rate is multiplied to give the coupon rate.

So if the factor is set at 2 and the floating rate is based on 3m Euribor, then the fixing for each coupon is calculated as follows:

2 * 3m Euribor

Displays the forward breakeven swap rate for a fixed rate swap vs. the defined spread. As such, it is the duration weighted average forward spread between the 2 indexes over the life of the trade.

Defines the knock out barrier.

For a:

Knock out cap it must be set higher than the coupon’s strike. Subsequently the coupon is deactivated (or knocked out) if the index is above the specified barrier on its fixing date.

For knock out floor it must be set lower than the coupon’s strike. Subsequently the coupon is knocked out if the index is below the specified barrier on its fixing date.

These fields define the range within which or outside of which (as defined by the Inside <> Outside toggle button) the observed rate (which can be either an index or swap rate depending on the instrument) must be on the coupon’s expiry date for the payment to be made.

Defines the first date on which a callable swap can be cancelled.

Defines which index is to be monitored for a range accrual swap.

Coupon payments are then calculated based on the percentage of index fixings that fall between the defined range.

Defines which swap is to be monitored for the range accrual leg in a CMS Range Accrual Swap.

Coupon payments are then calculated based on the percentage of swap fixings fall between the defined range.

Lets you define which two swap rates to use for the spread in a CMS spread range accrual swap.

Defines the cap for capped floater swaps.

Defines the exchange on which the selected futures contract is traded.

Defines the expiry date of the selected futures contract.

Lets you edit the market rate of the selected futures contract.

After you enter your own value in this field, it is highlighted in blue and is not automatically refreshed by the system even if you change a setting that affects the contract price, e.g., the trade date, or if you refresh the rates. Accordingly, if you want to see the system’s calculated value again, you must first erase the displayed rate and then click outside the field.

Defines the size (or value in the relevant currency) of each futures contract.

For each currency, this value is set according to market convention. For example, for BRL it is 100,000 BRL; for GBP it is 500,000GBP, etc.

Defines the underlying asset (interest rate index).

Lets you define that the interest of the swap’s floating leg is compounded.

When you choose to compound the interest rate, you can choose whether or not to include any defined spread in the compound calculation. If you choose:

Spread, then the system compounds the interest rate taking into account any spread (if this is defined).

Flat, then when the interest is compounded, the rate of interest for the compounding does not include the spread (even if you have defined a spread for the floating leg).

Once you have enabled the Compounding feature, you can then set the fixing (or compounding) frequency to be greater than the leg’s payment frequency.

To deactivate the compounding feature, choose None.

Currently this feature is supported for the following instruments:

Vanilla swap

Zero coupon swap

IMM swap

For these instruments this dropdown list is not displayed for the following currencies—Brazilian real (BRL), the various Chinese renminbi currencies (CNY, CNS, CNP and CNF), and the Chilean peso (CLP). This is because by definition these currencies have compounded interest built into them according to market convention. Note that for these currencies, by default, the system automatically compounds the interest rate taking into account any spread (if this is defined).

Defines the ending notional for a zero coupon swap. This is the starting notional plus the interest that will be accrued and compounded for the fixed rate leg. The single amount paid by the fixed rate payer at the swap’s expiry is calculated as the difference between the ending and starting notionals.

This field is linked to the Starting Notional and the Zero Rate fields. For more details see Pricing a Zero Coupon Swap in SDX Interest Rates .

Defines whether first coupon’s type is set to floating or fixed for a snowball or a reverse snowball.

Defines by how much to multiply the previous coupon’s payout for a snowball or a reverse snowball.

It cannot be a negative value.

Displays the reference index’s rate on the inflation swap’s defined start date.

Displays the UF (Unidad de Fomento) rate on the UF swap’s defined start date.

It is important to note that if the instrument’s start date is in the future, by default this field displays the rate for the defined trade date.

This field is also linked to both the Notional fields. For more details see Pricing an UF Swap in SDX Interest Rates.

Displays the UDI index rate on the UDI swap’s defined start date.

It is important to note that if the instrument’s start date is in the future, by default this field displays the rate for the defined trade date.

This field is also linked to both the Notional fields. For more details see Pricing an UDI Swap in SDX Interest Rates.

Defines the amount of money that the borrower receives from the lender and that must be repaid with interest.