Price a Vanilla Swap

Public

Updated November 30, 2023 10:17.

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

Note: The flows used to calculate the Mark-to-Market indicator, for example, are discounted using the zero coupon curve based on RFRs, regardless of the index selected to price the transaction.

Prerequisites

Enable the Pricer application for the customer account or the organization (contact your Finance Active consultant)
Enable the Vanilla Swap pricer (contact your Finance Active consultant)
Enable the relevant currencies (contact your Finance Active consultant)

Navigate to the Pricer Application

Log in to your Fairways Debt account.
Select a customer account.
Navigate to Applications > Pricer.

Price a Vanilla Swap

Click Vanilla Swap.
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.

Field	Description
Index	Type of the index used to calculate the rate value. The list also includes the Risk-Free Rate (RFR) indexation related to the transaction currency (or IBOR if still published). The available indexes for each currency are as follows: CAD: CDOR, CORRA CHF: SARON EUR: EURIBOR, ESTER, Term ESTER GBP: SONIA, Term SONIA USD: LIBOR, Fed Funds, SOFR, Term SOFR 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 bp.
Fixing Type	Note: This field only displays for the the IBOR or Term RFR index. In Advance: The reference fixing is the one at the start of the interest rate period. Only this type is available for a Term RFR index. In Arrears: The reference fixing is the one at the end of the period.
Fixing Offset	Note: This field only displays for the the IBOR or Term RFR index. 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 IBOR, RFR or Term RFR index. Floor option applied to the index. When an RFR index is selected, the floor option will apply to the compounded rate. The compounded rate is computed without shift and lag. When a Term RFR index is selected, no floor option can be selected.

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.

Click Apply.

The pricing results display.

Custom Amortization

Click Edit.

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

Articles in this section