Entering Swaps, using the example of an Interest Rate Swap (Payer Swap)

Jumpstart with a prefilled template

1. Choose “Templates” to see the range of available public templates for Derivatives
2. Now click on the template which best suits your purpose, e.g. “Interest Rate Swap…” (or view the description before by clicking on Details).
3. After you have clicked on the template name, all parameters of the deal will appear and you may alter them as needed to correctly capture your own transaction.

Adjusting the deal parameters

1. Name the transaction in the section General Data in the field “Name” as precisely as possible in order to easily find the deal later in the report view, (e.g. “Name” = Payer Swap 5y 4,5%). Furthermore, you can specify the counterparty (usually a bank) in the field “Counterparty name” (optional) and adjust the start and maturity date of the transaction (very important).
2. Now the deal parameters can be adjusted under Deal Details as shown above. In this case, though, both legs of the derivative have to be amended. On the left you see the Receiver Leg; on the right the Pay Leg is displayed.

   Please pay particular attention to the following items: nominal and payment frequency. In derivatives, the payment frequency also usually specifies the reference rate, i.e. semi-annual payment will mean that interest is linked to 6-month Euribor etc.

3. Amortization and Expert Settings offer you more choices of parameters that can be adjusted to your needs.

Reviewing the payment schedule

1. Are all details shown in the lower part of the window correct? As everywhere in sals.a, you may adjust all underlined values. Simply enter a new value or delete the entered number in order to get back to the automatic setting. Choose Calculate to see the effects of your changes.
2. Click on Save to add the deal to your chosen portfolio.

Done!

• Purchasing a cap while selling a Knock-in floor