Front Office > New Deal > Swaption
First register the Option part;
1. Select Entity/Countert.
2. Is it a Buy(Call) or Sell(Put) Option?
3. Enter the Premium to be paid for the Option.
4. Deal Date: Date of your agreement.
5. Paymant Date: Date of paying the Premium.
6: Exercise Date: The Date when the option can either be exersiced/not excersiced depending on "in the money" or "out of the money".
Then you register the underlying Interest Rate Swap - to be executed or not according to the conditions;
> Entity/Counterpart/Deal Date is populated from the Option by default.
- Choose Interest type Fixed/floating or Floating/floating. Fixed/floating is set by default.
- Choose which type of interest: Pay fixed or Receive fixed. Pay fixed is set by default. If Floating/floating is chosen no choice will appear.
- If an amortizing swap choose between Annuity or Straight amortisations, by default No amortisation is set.
- Fill in all valid data in TAB - Interest. Choose Fixing index when Interest type Floating is chosen. If no "ibor" rate are show in the list. it needs to be predefind in Market data set up it can't be left blank.
- Fixing and payment period can be entered with different period if that is agreed.
- Last day of period: Checked = adjust roll date to last day of period. For example if a period ends on the 30th of March the date will be adjusted to the 31st in accordance with the business day convention (Date rolling behaviour).
- Choose correct day count convention. For more details see Interest day count convention
- Three options for adjust dates:
- None = no adjustment on either maturity or payment date.
- Payment date = Only payment date will be adjusted. If maturity date falls on a sunday the interest rate will be calculated until sunday but paid on monday (or according to chosen business day convention).
- Maturity and Payment Date = Both interest calculation date (maturity date) and payment date will be adjusted according to the enterered business day convention.
- Bank accounts are set according to the set up in Default Bank Accounts. Legal entity's bank accounts must be filled in (mandatory fields) for both legs. Counterpart's bank account are optional.
- TAB Tags are optional. If a tag value is entered on one of the legs (paying) it will not be automatically be set on the other leg (receiving). It needs to be set for both legs. If it is an internal deal the mirror will get the same tags.
- TAB Finish if additional bank holiday calendar will be added this will be done on tab - Finish. By default the transactions currency will be set as effective calendar.
- If an internal interest rate swap are entered and an automatic mirror deal shall be created this needs to be set up in Mirror Rules. The rule can be overruled here by changing from "Use rule" to No Mirror or Create mirror in field Mirror creation type.
- Press Save
Two legs will be created in one Deal ID: Payer and Receiver Leg:
Summary, Payer Leg:
Transactions, Payer Leg:
Summary, Receiver Leg:
Transactions, Receiver Leg (this shows no values since no known floating interest is set yet):
Executing the Option:
If, at expiration, the Option is 'in the money' you would like to use the Option and excercise the underlying Interest Rate Swap - then press the Exercise icon in the Option part:
You will then enter into the specified Interest Rate Swap agreement.
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