The Callable Dates and Fees window details all information on the call dates or exercise dates (as relevant for the instrument type) defined for the current instrument.
This window is accessed by clicking the Call Dates button or the Exercise Dates button either in the Single Option page or in the relevant instrument column in the Portfolio page.
You can access this information for the following instruments:
Bermudan swaption
Callable swap
Range accrual swap
Callable inverse floater
Callable capped floater swap
Snowball
Reverse snowball
CMS spread range accrual swap
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To access the Callable Dates and Fees window you must chose the Bermudan style or European style (as relevant) for these instruments. |
In the Callable Dates and Fees window, you can see the following data for each call date:
Its notice date
This is the date on which the holder of the right to cancel the trade can notify the other party that they wish to call the trade.
By default a coupon’s notice date is set according to the currency. For example, this is two business days before each effective date for USD and JPY, but zero business days before each effective date for GBP. However, using the Notice Days field and the Business Days <> Calendar Days toggle button you can change this setting as required.
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The Calendar Days setting counts all days (trade dates and non-trade dates) but when the count is finished, if the notice date then falls on a non-trade date the system moves the notice date backwards to the closest trade date. |
Its effective call date
This is the date on which the holder of the right to cancel the trade actually calls the trade. In addition, if there is a fee to be paid, it is transferred on this date.
By default all possible call dates are checked. However, you can uncheck any call dates as required.
Its fees
This defines the fee to be paid by the party with the right to cancel the swap if they decide to call the deal on the notice date. The fee is defined as a percentage of the notional. Although by default it is set to zero, you can now also manually enter a fee as relevant for each call date. The fee makes the holder of the right to call the trade less likely to call it.
Payment date
This shows the payment date of the current coupon.
For information on:
What can be done in the Callable Dates and Fees window, see What Can Be Done in the Callable Dates and Fees Window.