Price a Vanilla Swaption

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 Swaption
  1. Click Vanilla Swaption.
  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

Swaption direction.

Swaption_EN.png

Field

Description

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

The exercise rate of the option indicates the fixed rate to swap with the floating rate.

FixedLeg_EN.png

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.

Swaption_Priced_EN.png

 

Custom Amortization
  1. Click Edit.

Custom_EN.png

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

Custom_EN.png

 

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