Working with the Pricing Table Window

When defining an instrument, it is useful to know what would happen to its calculated results if certain parameters were to change. For example, you may want to know how changing the tenor of a vanilla swap would affect its breakeven rate, or how changing a swaption’s expiry would affect its vega.

In SDX Interest Rates the Pricing Table window lets you easily run multiple scenarios on a single instrument. By letting you see, for example, how defining different strikes will affect the value of an instrument (when all other deal configuration data remains the same), the tool lets you easily perform What-if analyses, letting you plan your strategies in a risk-free environment.

Currently this feature is supported from the Single Option page only and for the following instruments:

Vanilla swap

Cap/floor

Swaption

Bermudan swaption

Callable swap

Callable inverse floater swap

Callable capped floater

Range accrual swap

Callable range accrual swap

To access this feature in the Single Option page enter a supported instrument in the Option/Swap dropdown list and then either click the Pricing Table tab in the left hand menu or in the Trader tab, Sales tab or Structurer tab click the Pricing Table button.

By default:

If you have defined an instrument in the Single Option page before you click the Pricing Table tab, then the instrument’s definition (for example, the index, the basis or day count, the payment frequency, the fixing frequency, the fixed rate, spread settings, etc.) is used. However, if you simply select a supported instrument in the Single Option page and do not define it before clicking the Pricing Table tab, then the system’s default values for the current currency and instrument are used.

The system displays a predefined set of input data. Although you cannot edit the actual type of input data displayed (which data of course depends on the current instrument selected) you can choose what input data will be static for each underlying scenario and what input data will change for each underlying scenario (this is determined by the Vertical and Horizontal axes settings).

You do this by assigning different input data to the vertical and horizontal axes. You can then also change the system's default settings for the input data.

For example, for a vanilla swap the set of input data includes the swap term (which is automatically set to the horizontal axis), the forward start term (which is automatically assigned to the vertical axis), the float spread and the fixed rate. You can then, for example, decide to change the vertical axis to the fixed rate, and change the system's default settings for the term input data as required.

Once the scenario is defined, you calculate the underlying scenarios by clicking the Calculate or the Refresh & Calculate button. The scenario calculation calculates a number of results simultaneously for the current instrument. Once the scenario calculation is complete, you can then easily toggle to a different set of results using the Calculate dropdown list.

Depending on the instrument type you can choose from the following results:

Breakeven

Premium

NPV

DV01

Vega

For a list of the buttons in the Pricing Table window see Table 1.