Set up instrument data Currency Options

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

In this article we will detail the options and setting for a Currency Option instrument.

Here's how it works:

Go to Register > Instrument Data
Choose Currency Options in the tree structure and choose an existing or create a new one by pressing F4
Details of the parameters can be found in the below table

Parameter	Definition
Instrument	Enter the name of the instrument.
Restriction R	Mark if the register only should be accessible for change by the users with user type manager in the user identity register. If left blank the user who has the right of access to the register can also make changes in the register.
Int conv	Enter the convention relevant for the instrument. If “Act/365” is specified, the actual number of days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 365; If “Act/360” is specified, the actual number of days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 360; If “30e/360” or “Eurobond Basis” is specified, the number of days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 360 (the number of days to be calculated on the basis of a year of 360 days with 12 30/day months, without regard to the date of the first day or last day of the Calculation Period or Compounding Period unless, in the case of the final Calculation Period or Compounding Period, the Termination Date is the last day of the month of February, in which case the month of February shall not be considered to be lengthended to a 30/day month). If “30u/360” or “Eurobond Basis” is specified, the number of days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 360 (the number of days to be calculated on the basis of a year of 360 days with 12 30/day months. Each month is assumed to have 30 days, with an exception that if the last day is the 31st and the first day is not 30th or 31st then that month has 31 days
Buy/sell	Choose if you want the system to default or lock the instrument to buy or sell in deal input.
EM	When checked, the system will not calculate market value for the instrument in reports. Instead an external market value can manually be entered in register / External market value. This external market value can be included in reports together with other instruments for which the system calculates the external market value.
Option type	Choose which type of options that should be able to register for the instrument. Use blank for plain vanilla.
Value days	The number of banking days between deal date and value date at the inception of the transaction. The number of days entered here will automatically trigger a value date in the registration form based on the deal date taking into consideration any Saturdays/Sundays or bank holidays in between.
Counterpart BD	Check if the bank holidays for the local currency of the counterpart should be considered
Amount rounding	Amount rounding is used to define the amount rounding rules for the instrument in deal input. Residual means that rounding is performed only on the residual amount in the transaction. If rounding is used the number of decimals for rounding must be entered. Recommended - 'Each Amount' and either '0' or '2' in 'No of dec'
Category	Category is an extra information field which can be included in reports in addition to the portfolio codes. The purpose of the Category is to be able to use as a common denominator for different instruments and spanning over different portfolio codes such as Strategies, Deal types, Transaction types. The category code can be used as a sorting variable in the Report manager and Balance sheet/Risk analysis reports. Category codes must be predefined in Register – Setup – Base code table (as type CA).
Yield curve fwd	Enter the name of the Interest code used in yield curves for market valuation of the instrument (Forward). This is the code, with attached interest rates, that the program will look for in the interest rate tables when market valuation is requested in reports. The code to be used here must first be defined in the Base code table under Register/Setup
No market valuations	If checked no market valuation of the instrument.
Int code + currency	Check for use of the interest code entered in the previous field to be used together with a currency code as a total interest code in the interest rate register. For example: We are defining an instrument called EURODEP to be used in transaction registration for all eurodeposits in different currencies. The interest code in the previous field is DEP for the EURODEP instrument. But the different currency deposits must be market valued by using different yield curves for each currency. Each yield curve in the interest rate tables defined by its interest code should therefore be named DEPUSD, DEPEUR, DEPSEK etc. By checking the Int code extension box we request the program that for all EURODEP transactions to look for a yield curve with the name DEP plus the currency code of the transaction, when interest rate gain/loss shall be calculated in various reports.
Zero coup	Not applicable