In Fairways Debt, before booking a transaction, you can first price and simulate their schedules.
Note: Only currencies that are managed for the transaction can be selected.
Prerequisites
- Enable the Pricer application for the customer account or the organization (contact your Finance Active consultant)
- Enable the Vanilla Swaption 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 Swaption
- Click Vanilla Swaption.
- 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 and its related currency. |
| Start Date | Unadjusted start date of the transaction. |
| End Date | Unadjusted end date of the transaction. |
| Amortization |
Amortization mode. Notes:
|
| 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 |
|---|---|
| Type | Swaption direction. |
| Exercise Type | Option exercise type. |
| Exercise Frequency |
Note: This field only displays for the Bermudan option. Frequency of the option exercise. |
| First Exercise Date |
Note: This field only displays for the Bermudan option. First exercise date of the option. |
| Exercise Start Date |
Note: This field only displays for the American option. Exercise start date of the option. |
| Exercise End Date |
Note: This field only displays for the American option. Exercise end date of the option. |
| 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:
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. |
| Strike |
Note: This field only displays for the fixed type rate. The exercise rate of the option indicates the fixed rate to swap with the floating rate. |
| 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.
|
| 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.:
|
| Floor Option | Note: The floor option is not currently supported. |
| 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.
Note: The value for the estimated market rate corresponds to the market rate for a standard transaction (same currency and standard index) with the same schedule (dates and outstanding balances).
The standard rates for the managed currencies are as follows:
- CHF: SARON
- EUR: ESTER
- GBP: SONIA
- USD: SOFR
- Other currency: IBOR
The pricing results display.