Price a Vanilla Swap

In Fairways Debt, before booking a transaction, you can first price and simulate their schedules.

 

Prerequisites

 

Navigate to the Pricer Application
  1. Log in to your Fairways Debt account, e.g. https://login.financeactive.eu.
  2. Select a customer account.
  3. Navigate to Applications > Pricer.

 

Price a Vanilla Swap
  1. Click Vanilla Swap.
  2. Complete the form with all relevant details.

Note: Fields marked with an asterisk * are mandatory.

Field

Description

Market Date

Date on which the transaction is priced.

Nominal

Nominal amount to invest in the transaction.

Start Date

Unadjusted start date of the transaction.

End Date

Unadjusted end date of the transaction.

Amortization

Amortization mode.

Notes:

  • Extra fields may display beside depending on the selected mode.
  • For custom amortizations, see below for more details.

Rate

Note: This field only displays for the progressive amortization mode.

Progressivity rate.

Frequency

Note: This field only displays for the straight line, progressive and custom amortization modes.

Amortization frequency.

Transaction_EN.png

Field

Description

Type

Type of the index used to calculate the rate value.

Note: The fields below display depending on the selected type.

Frequency

Frequency of the interests perceived or paid. This frequency determines the tenor of the index (3 months, 6 months, etc.).

Day Count

Computes the day fraction of an interest accrual period.

Rate

Note: This field only displays for the fixed type rate.

Fixed rate value in percentage.

Spread

Note: This field only displays for the floating type rate.

Spread (or margin) value in percentage.

Fixing Type

Note: This field only displays for the floating type rate.

  • In Advance: The reference fixing is the one at the start of the interest rate period.
  • In Arrears: The reference fixing is the one at the end of the period.

Fixing Offset

Note: This field only displays for the floating type rate.

Number of days to move from the fixing type selected, can be earlier or later, e.g.:

  • -2 for 2 days earlier
  • 2 for 2 days later

Floor Option

Note: This field only displays for the floating type rate.

Include/Exclude a floor option.

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Field

Description

Roll Convention

Note: The field value displays depending on the selected end date and stub.

Date rolling convention.

Stub

Defines whether the last period should be a short or long stub when it does not match the selected frequency.

Calendar

Calendars with banking days and holidays of a specific city work with adjustments to provide an accurate schedule.

Payment Date Adjustment

Adjustment mode for the payment date.

First Regular Start Date

Note: This field only displays for the mixed stub.

Start date of the stub.

Last Regular Start Date

Note: This field only displays for the mixed stub.

End date of the stub.

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  1. Click Apply.

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The pricing results display.

Swap_Priced_EN.png

 

Custom Amortization
  1. Click Edit.

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  1. Double-click the relevant payback amount fields and enter their amounts.
  2. Click Save.

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