Defining a Fixed Rate Swap

Use this tabbed page for either the pay leg or the receive leg of a swap if the interest rate is fixed.

Step 1: In the Notional Amount text box, type the predetermined dollar amount of the fixed cashflow instrument (swap fixed leg), then click the corresponding currency type from the adjacent currency menu. This is a required command.

Step 2: In the Payment Frequency menu, click the appropriate frequency agreed to with the Counterparty. This is a required command.

Step 3: In the Business Day Rule menu, click the rule being observed for the swap agreement. This is a required command.

Step 4: In the Holiday Locale menu, click the hoiday locale or regional banking calendar being observed for this instrument. For example, calEUR for the European Calendar. This is a required command.

Step 5: In the Daycount Convention menu, click the appropriate convention used in the payment schedule. The available conventions and corresponding currencies are: Actual/365 HKD, MYR, THB, SGD Actual/360 AUD, CAD, NLG, EUR, FRF, DEM, ITL, PHP, ESP, SEK,CHF, GBP, JPY, USD. This is a required command.

Step 6: In the Discount Curve menu, click the appropriate curve, selecting interbank or treasury for the desired currency. This is a required command.

Step 7: In the Fixed Rate menu, type the specified interest rate in the swap. The text box automatically extends your entry to six decimal places.. This is a required command.