Interest fixing on Caps and Floors

Created by Erik Åkerlund, Modified on Mon, 20 Feb 2023 at 02:28 PM by Erik Åkerlund

Interest fixing on Caps and Floors

Interest fixing (settlement) on Caps and Floors is performed in Back Office – Confirm start. Select the appropriate interest transaction, for example by Value date.

Click on icon ‘Interest Fixing/Reconciliation/settlement’ (Shift + F4) to automatically perform the settlement for a single transaction. Settlement for several transactions is performed with icon  ‘Interest Fixing/Reconciliation/settlement in Batch’.

If the Cap/Floor is ‘In the money’ an interest amount will be calculated. If not in the money the transaction will automatically get an ordinary reference number and status completed.

Before settlement – No interest amount

After settlement – An interest amount is calculated. Fixing rate displayed in column 'Closing rate'.

Manual settlement: Enter fixing rate in column ’Closing rate’ and Click on icon ‘Interest Fixing/Reconciliation/settlement’ (Shift + F4)

Note! Column ‘’Closing rate’ available in ‘Ledger design’. 

Setup for the settlement procedure. 

Deal Input – Enter  a Yield curve on the Cap/Floor transactions. 'Period type' should be '3'


Interest rate/Price/Volatility Tables – The interest rate, for the interest period entered on the Cap, is fetched from a table two bank days prior to value date.


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