In any instrument priced on the Brazilian real (BRL) or the Brazilian real (offshore) (BRR), in the Swap Term field or the Expiry field (depending of course on which instrument you are pricing), instead of defining a tenor you can use a futures expiry shortcut together with a date.
The futures expiry shortcut consists of a letter to indicate the month of the futures expiry, as seen in Table 1.
|
Month |
Code |
|
January |
F |
|
February |
G |
|
March |
H |
|
April |
J |
|
May |
K |
|
June |
M |
|
July |
N |
|
August |
Q |
|
September |
U |
|
October |
V |
|
November |
X |
|
December |
Z |
When you combine this letter together with a 2-digit number to indicate the year, SD then sets the relevant date to the date of the defined futures expiry. So if you enter F17, the date will be set to the futures expiry date in January 2017.
Depending on how you use these futures expiry shortcuts, they can be used in the Swap Term field or the Expiry field to set either the end date only or both the start date and the end date, as follows:
If you use a single futures expiry shortcut, e.g., F17, it is used to define the end date, i.e., the end date is set to the date of the futures expiry in January 2017.
If you enter a double futures expiry shortcut, e.g., F17K20, the first shortcut is used to define the start date, i.e., the date of the futures expiry in January 2017, and the second shortcut is used to define the end date, i.e., the date of the futures expiry in May 2020.
If you enter a mix of a futures expiry shortcut and a tenor, e.g., M213y, the futures expiry shortcut is used to define the start date (which in this example will be set to 1 June 2021, the date of the futures expiry in June 2021) and the tenor is used to set the end date. That is, the end date is set to the date of the futures expiry which falls the defined period after the start date, so in this example, 3 years after the futures expiry in June 2021, i.e., 3 June 2024.