The following import template files are described and can be downloaded from here:
- IR and Inflation Curve List
- IR and Inflation Curve Nodes
- IR Volatility Surface List
- IR Swaption Matrix
- IR Cap Floors Skew Matrix
- IR Volatility Skew
- FX Rates List
- FX ATM Volatility Surfaces
- FX Skew Volatility Surfaces
- Credit Curve List
- Credit Curve Nodes
- Curve Configuration
- Curve Configuration Overrides
IR and Inflation Curve List
A curve list comprises the Interest Rate (IR) and inflation curves to add to a curve group.
See permissible values.
IR and Inflation Curve Nodes
A curve node list comprises the nodes used for the configuration of any (one or more) of the existing IR or inflation curves.
See permissible values.
IR Volatility Surface List
An IR volatility surface list comprises the IR volatility surfaces to add to a curve group. IR volatility surfaces are defined by the following properties:
See permissible values.
IR Swaption Matrix
An IR ATM swaption matrix is a list of the expiry and tenors that are used to define an ATM swaption matrix. The same configuration will automatically be applied to the corresponding skew surfaces (if any).
It does not have to be a full matrix (i.e. expiry vs tenor).
See permissible values.
IR Cap Floors Skew Matrix
An IR cap/floor strike matrix is a list of the strikes and maturities that are used to define a cap/floor volatility surface. It does not have to be a full matrix.
See permissible values.
IR Volatility Skew
An IR swaption skew configuration is a list of the skew values (moneyness or strike) that are used to define the swaption skew for any existing volatility surface.
See permissible values.
FX Rates List
Under the Curves/Curve Groups menu item, at the curve group level (that can be accessed by double-clicking anywhere on the curve group line item), under the FX Rates tab, you can import a list of FX Rates.
See permissible values.
FX ATM Volatility Surfaces
An FX ATM volatility surface is a a list of the tenors and the currency pairs that are used to define an ATM volatility term structure for each currency pair. The same configuration will automatically be appliesd to the corresponding skew surfaces (if any). It does not have to be a full matrix (i.e. tenor vs. currency pair).
See permissible values.
FX Skew Volatility Surfaces
An FX volatility skew is a list of the FX option deltas (moneyness) and the currency pairs that are used to define the applicable skew volatility (risk reversal and butterfly) for each currency pair. Each currency pair can have up to two deltas.
See permissible values.
Credit Curve List
A credit curve list comprises the credit curves to add to a curve group. A credit curve is primarily defined as CDS curve and is uniquely represented by its Curve ID:
- CDS = Reference & “_” & Ccy & “_” & Seniority & “_” & DocClause
- CREDIT INDEX: Reference & “_” & Ccy.
- CREDIT INDEX TRANCHE: Reference & “_” & Tranche & “_” & Ccy.
For the purposes of FVA calculations, a funding curve can also be specified.
See permissible values.
Credit Curve Nodes
A credit curve node list comprises the CDS/funding nodes that are needed to define the CDS/funding components of any (one or more) of the existing credit curves.
For the purposes of FVA calculations, funding nodes will only be valid for credit curves whose Seniority = “SNRFOR”.
See permissible values.
Curve Configuration
Under the
See permissible values.
Curve Configuration Overrides
The default mapping between instrument types and preferred providers can be overridden on an instrument type basis.
See permissible values.
