Market Data Setup

Market Data Setup 

Define all rates and prices imported from market data supplier needed to perform fixing and market valuations. Index, FRA, Swap interests and currency basis spreads. Normally this is already pre-defined for some currencies (the most common) when the system is delivered.  

Here you also define credit spread curves that you want to use for market valuation of your debt or asset portfolio.

Se also  Combined curves

Curve definition  

Choose the market data that should build up the different curves that should be used when doing market valuation of the instrument.  

Example: 

"Ibor" rates up to 6 months 

FRA rates from 6 months – 2 years 

Swap interest rates from 2 years – 15 years 

Index

Interest form - describes which form the imported interest rates are in.

'Not set' equals Simple.

All imported interest rates are converted to Simple rates by Treasury systems and then used in calculations.

Swaps

Example of a credit spread curve