In the Cash Flow Dates window (Working With the Cash Flow Dates Window) you can edit the coupon notionals in a variety of ways, whether manually or using the Notional Per Fixing field.
For an instrument with more than one leg, once you have edited the notionals of a leg’s coupons, you can then transfer all notionals from that leg’s coupons to the other leg’s coupons. You do this by clicking the Transfer notionals to other leg button.
You can transfer the coupon notionals from one leg to the other in either of the following circumstances:
Both legs have the same number of coupons.
The leg from which you are transferring the notionals has less coupons than the other leg.
For example, you enter into a 1Y swap on 1 April 2010 with a semi-annual frequency on the left leg and a quarterly frequency on the right leg. After editing the coupon notionals of the left leg, you can transfer the notionals to the coupons of the right leg. The system does this by transferring the notional amount for each coupon on the left leg to the relevant coupons on the right leg, i.e., the coupons that fall in the same period. So the amount of 10,000 is transferred to all the right leg coupons up to 5 October 2010; the amount of 5,000 is transferred to all the right leg coupons between 5 October 2010 and 5 April 2011.
| Figure 1: | Transferring Notionals Between Uneven Legs |
You cannot transfer the coupon notionals from one leg to the other if the leg from which you are transferring the notionals has more coupons than the other leg.