You can price an instrument for the following trade dates:
Current trade date
In this case the system automatically provides the real-time market data (or the frozen data if the market data source is set to SuperDerivatives and the rates in the market data pages have been frozen).
Trade date in the past
In this case the system provides the saved market data for the defined trade date.
Trade date in the future
In this case the system automatically provides the real-time market data.
Once you have entered the trade date and the instrument’s tenor, the system fills in the market data for that instrument. You can then manually edit this market data, enter your own market volatility (see Changing an Options’s Volatility), and/or calculate the required input for a given output using the Solver (see Using the Solver in the Single Option Page), etc.
When defining an instrument it is important to note that:
When defining an instrument, if in any field you change the system’s default setting it is highlighted in yellow. If you then change, for example, the instrument’s term, your edited changes are retained. That is, they are not automatically replaced with the system's default settings and remain highlighted in yellow.
For more information see Understanding the Market Conventions Used in SDX Interest Rates
After calculating an instrument if you change the input data, for example, changing the payment frequency or the notional, then in the Single Option page the system automatically deletes the results (which were calculated for the previous set of input data). This is to make it clear that you need to press the Calculate button to see the results for the new input data.
To price an instrument in the Single Option page:
| 1. | Access the Single Option page. |
| 2. | In the Currency dropdown list select the currency. |
| 3. | In the Trade Date field, define the trade date. |
| 4. | From the Option/Swap dropdown list select the required option. Alternatively, enter the appropriate shortcut code and press Tab or Enter. For the selected option, SDX Interest Rates opens the required fields and fills them in where appropriate. |
| 5. | Fill in and/or edit the fields as necessary. For more details on the fields see Fields in the Single Option Page & the Portfolio Page. |
| 6. | If required, enter your own market volatility or market normal volatility as relevant. See Changing an Options’s Volatility. |
| 7. | Click Calculate. The results are calculated and displayed for each instrument individually and for the portfolio as a whole. See for an explanation of each of the results. |