Go through the different settings and field on a coupon plan
Issuer or Investor- If entering an issued Bonds (borrower) or Investor if investing in a bond (lender)
Legal entity: Enter the legal entity that has issued/invested in a bond
Counterparty (IPA)- the counterpart the coupons are paid to
Market Valuation Type- choose either market valuation on price or market valuation based on yield.
Average/FIFO- If a close of a bond is entered and there are several of sells/buys, this setting will decide how the calculation of the gain/loss is done
Closing Option - Close means that you reduce the outstanding position and the gain/loss will booked att the time of the close deal. Countinues means that instead of closing the deal you enter a "counter" the two deals are parallell until maturity. The end the result will be accounted for at maturity date. If close the buttons to the right will show SELL & CLOSE if continuous it will show SELL & BUY
Investor- You invest in a Bond (Lender),
Counterpart (Issuer) - the issuer of the Bond, the Risk counterpart
Custodian - The counterpart for the payment
Begin date - The start date for the first relevant coupon or start date of the paper.
End date - The end date of the paper
Payment period - the frequency coupons shall be paid
First payment roll date- first payment date, the payment period will count from this date
Reconciliation date - how many days before the payment date any bought/sold bonds will be taken into account for the next coupong payment. If a bought bonds is 1 day after the reconciliation date it will not affect this coupon payment.
Rounding- Number of decimals used when calculating the yield
Denomination of notes - Posts/units the bond is traded in (can in some cases cause small differenses in coupong amount)
Use denomination in calculation - Check if calculation should be done per unit/post
Different curves can be used for Market valuation of the Bond. The discount- and forward curve is chosen on the coupon plan. Learn more about Combined curves
Interest type- choose if it is a fixed or floating rate note (FRN), depending on choice different field will be shown, as seen in the picture above
Fixing Index- The Index used for fixing the interest
Floating/Fix Interest - The current interest (used to be able to calculate the correct accrued interest (bought/sold coupon)
Use observation shift- relevant for bonds with risk free rate, read more in articel IBOR transition
Fixing period - the frequency that the interest (coupon) should be fixed
First fixing roll date - first fixing date, the frequency will be calculated from this date
Interest floor type - Base interest floor, only look at the base interest. Total interest floor looks att the base interest + the spread
Interest floor - default is 0% but an other rate could be chosen
Read more in specific article Day Count Conventions, Date Rolling Behaviour
Last day of period - tick if it always should be last date of the month
Additional Calendars - if more calenders than the currency calenders should be considered