Archive for category SW-Swap

Interest Day Basis

Main regulatory organizations: ICMA(2005):  International Capital Market Association. Merger of ISMA(1991, ex-AIBD) and IPMA) ISDA(1985):  International Swaps and Derivatives Association SIFMA(2006): Securities Industry and Financial Management Association. Merger of The Securities Industry Association (SIA) and The Bond Market Association (TBMA or BMA). Interest basis codes one can choose in T24: A    360/360 = “Bond basis” […]

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Swap module setup

Swap module documentation SWAP Data Model SWAP.TYPE Overview (parameters) SWAP.PARAMETER Overview (parameters) Example of IRS deal capture (fixed/floating) Detailed Marked to market Impact of an IRS on FX Position Tips & Tricks on some strange messages / crashes SWAP Data Model Overview of tables implied in Swaps module implementation: top SWAP.TYPE Overview (parameters) This module […]

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