Local Currency Discounting
Instrument Type Parameters and Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Instrument Type | The instrument type that requires user-defined classification criteria (read-only) |
FX Forward and FX Option Inflation Swap Credit Instruments XCCY |
| Main Trade Index Tenor |
User-defined tenor mapping, to be selected in the desired priority order Only relevant when the instrument type is not linked to an index | 1M | 3M | 6M | 1Y |
| Ccy (1) |
User-defined priority order for FX instruments USD -> EUR for XCCY swaps |
Any permissible discount currency for FX instruments; USD -> EUR for XCCY swaps |
| Fallback Ccy (2) | The fallback for the discount currency when it cannot be determined automatically (applicable for FX instruments using the user-defined priority order, or XCCY instruments without a USD or a EUR leg) |
Any permissible discount currency for FX instruments; EUR or USD for XCCY swaps |
| Override Ccy (3) | For FX instruments, the discount currency that will always prevail over the user-defined priority order and the Fallback Ccy | N/A | Any major currency for FX instruments |
Other Valuation Settings
Xplain Default Valuation Settigns and Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Curve Configuration Type | If Curve Configuration Type = 'FX vs non-FX Instruments', a different curve configuration will apply for FX vs non-FX trades |
Single FX vs non-FX Instruments |
| Curve Configuration (Single, FX / Non-FX) | The applicable curve configuration(s) | See curve configuration |
| Curve Stripping |
Dual stripping (for the projection and discount curves) or Single curve stripping |
OIS (DUAL) SINGLE |
| Discount Ccy |
Applicable single currency for discounting purposes or If Discount Ccy = 'Local Ccy', the discount currency will be a function of the trade type and user parameterisation (see here) |
Any permissible discount currency Local Ccy |
| Reporting Ccy | The currency in which the calculation results are expressed | Any permissible currency |
| Triangulation Ccy | The triangulation currency used first when no direct base vs counter curve can be found for foreign cashflow discounting | Any permissible discount currency |
| Projection Valuation | Market data side for projection | Bid | Mid | Ask |
| Discount Valuation | Market data side for discounting | Bid | Mid | Ask |
| FX Rates Valuation | Market data side for FX rates | Bid | Mid | Ask |
| Optionality Valuation | Market data side for ATM swaption and FX volatilities | Bid | Mid | Ask |
| Skew Valuation | Market data side for Swaption and FX volatility skews | Bid | Mid | Ask |
| Force ISDA interpolators while calibrating CDS (*) | To allow a zero-coupon curve interpolation override that is compliant with the ISDA CDS Standard Model when pricing a CDS | Boolean |
| Exclude fixings from valuation date (*) | Whether to exclude fixings on the valuation date (fixings occuring after the valuation date will be ignored) | Boolean |
Inflation Seasonality Factors' Attributes and Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Curve Name | The inflation curve name | Any permissible inflation index |
|
January … December | Seasonality adjustment to be added to the forward inflation rate for (December to) January, … (November to) December etc. | Numeric |
| Settings Type | Manual input or calculated based upon historical index values over a certain horizon | MANUAL | HISTORICAL |
| Observation Period |
The calculation horizon for historical factors, expressed in years Applicable only if Settings Type = 'HISTORICAL' | Numeric |
Future Convexity Adjustment Factors' Attributes and Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Curve Name | The 3M curve name |
CAD 3M | CHF 3M | EUR 3M | GBP 3M NZD 3M SEK 3M | USD 3M |
| Mean Rev | Hull-White model’s mean reversion | Numeric (e.g. 0.03) |
| T0 | 1M | 3M | 6M | 9M | 1Y | 18M | 2Y | 3Y |
Hull-White model’s short rate volatility Required: T0 + another tenor | Numeric |
