How to: Change Interest Convention on Bonds

Created by Erik Åkerlund, Modified on Mon, 20 Feb, 2023 at 2:29 PM by Erik Åkerlund

The Interest Convention on Bonds cannot be changed if there are any coupons in Coupon Data or any registered Bonds in Deal Input. Therefor you have to cancel existing bond and its coupons and regenerate new coupons.

  1. To change the Int conv you first have to delete all coupons in Deal input -> Coupon Data. Search for the instrument and press shift+F6 or click on icon Cancel. Choose to delete All coupons. Save.
  2. Search for the instrument in Deal input -> Bonds, the deal must have status REG, cancel the deal (shift+F6 or icon Cancel). Save.
  3. Delete all coupons in Instrument Data - Coupons Data, shift+F6. Save.
  4. Change Int conv. to correct convention, both under Base data and Bonds, as shown in the first picture, Save.
  5. To regenerate the coupons in Instrument data, first change status from Cancelled to REG on the Bond, Back Office -> Set status => REG. Save.
  6. Then go to tab Coupons in Instrument Data and regenerate the new int convention terms by filling in the below and press OK.
  7. Last step is to create the new coupons. This is done by changing a value in the Bond. Go to Deal Input -> Bonds, change for example Value date one day, save, and change back to correct Value date and Save. Coupons are now created with new interest convention

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