By default, when you define an instrument in the pricing page a number of the fields are set by default to a constant value for all the instrument’s underlying coupons. The list of fields for which this is true depends on the instrument being priced, but can include the following:
Strike
Fixed rate
For some instruments there is a field called Fixed Rate; for some this value is displayed in the Market Rate result in the Results area.
Floating spread
This value is displayed in the Floating Spread result in the Results area.
Notional
High barrier (%)
Low barrier (%)
So, for example, if you enter into a 1-year swap with monthly coupons and set the fixed rate in the pricing page to 2.1%, the system automatically assigns a fixed rate of 2.1% to all the underlying coupons. You can see this in the Cash Flow Dates window for that instrument.
However, you can then edit the value used for each individual coupon in the Cash Flow Dates window (Working With the Cash Flow Dates Window). For example, you can set a different fixed rate for each underlying coupon in a swap or set a different trigger for each underlying caplet in a digital cap.
It is important to note that making any change to the input data for a coupon will cause the system to 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.
If you do set different values for a field for individual coupons, subsequently that field in the pricing page will display a button called Variable. Clicking this button opens a dialog box that gives you the choice of resetting the field to its original value for all the underlying coupons for this leg.
If the values are displayed in the Results area, for example, the floating spread value or the market rate value, these results will also display a value called Variable. Clicking the Floating Spread button or the Market Rate button then opens a dialog box that gives you the choice of resetting the field to its original value for all the underlying coupons for this leg.
To adjust a field’s value for each coupon individually:
| 1. | Specify the instrument in the pricing page. |
| 2. | Click the Cash Flow and Dates button. The Cash Flow and Dates window opens. |
| 3. | Make the required changes to the value for each coupon as necessary. |
| 4. | Click Calculate. The coupons are recalculated based on the edited values. |
| 5. | Click Accept. The changes are saved and the pricing page is redisplayed. The Variable button is displayed for any field in the pricing page that has different values assigned to individual coupons for the same field. |