TRM Instruments: Processing And Calculations Instrument Guide
User Manual:
Open the PDF directly: View PDF
Page Count: 930 [warning: Documents this large are best viewed by clicking the View PDF Link!]
- Contents
- Preface
- Chapter 1 Concepts
- Chapter 2 Market standards and calculations
- 2.1 Market standards
- 2.1.1 Date basis
- 2.1.2 Interest types
- 2.1.3 Price types
- 2.1.4 Yield/price conversions
- 2.1.4.1 Price/yield conversion
- 2.1.4.2 Yield/price conversion
- 2.1.4.2.1 *ISMA-30/360-BIMONTHLY (financial/instrument/isma@price)
- 2.1.4.2.2 *ISMA-30E360-ANNUAL (financial/instrument/isma@price)
- 2.1.4.2.3 *ISMA-30E360-SEMI-ANNUAL (financial/instrument/isma@price)
- 2.1.4.2.4 *ISMA-30E360-QUARTERLY (financial/instrument/isma@price)
- 2.1.4.2.5 *ISMA-ACTACT-ANNUAL (financial/instrument/isma@price)
- 2.1.4.2.6 *ISMA-ACTACT-QUARTERLY (financial/instrument/isma@price)
- 2.1.4.2.7 *ISMA-ACTACT-SEMI-ANNUAL (financial/instrument/isma@price)
- 2.1.4.2.8 *ISMA-ACT360-ANNUAL (financial/instrument/isma@price)
- 2.1.4.2.9 *ISMA-ACT365-ANNUAL (financial/instrument/isma@price)
- 2.1.4.2.10 *U.S.STREET-ACT365-SEMIANNUAL (financial/instrument/us-street@price)
- 2.1.4.2.11 *U.S.STREET-ACTACT-SEMIANNUAL (financial/instrument/us-street@price)
- 2.1.4.2.12 *U.S.STREET-ACTACT-ANNUAL (financial/instrument/us-street@price-1)
- 2.1.4.2.13 *U.S. Treasury (financial/instrument/us-treasury@price)
- 2.1.4.2.14 BOND-BR-LFT (financial/instrument/isma@price)
- 2.1.4.2.15 BOND-BR-NBC (financial/instrument/isma@price)
- 2.1.4.2.16 BOND-BR-NTN (financial/instrument/isma@price)
- 2.1.4.2.17 GOVT-AU (financial/instrument/australian@price)
- 2.1.4.2.18 GOVT-CA (financial/instrument/canadian@price)
- 2.1.4.2.19 GOVT-CH (financial/instrument/isma@price)
- 2.1.4.2.20 GOVT-DK-OLD-30E360 (financial/instrument/isma@price)
- 2.1.4.2.21 GOVT-DK (financial/instrument/isma@price)
- 2.1.4.2.22 GOVT-EUROZONE (financial/instrument/isma@price)
- 2.1.4.2.23 GOVT-FR-OAT-OLD-AIR3 (financial/instrument/isma@price)
- 2.1.4.2.24 GOVT-FR-OAT (financial/instrument/isma@price)
- 2.1.4.2.25 GOVT-GR-OLD-30E360 (financial/instrument/isma@price)
- 2.1.4.2.26 GOVT-HU (financial/instrument/isma@price)
- 2.1.4.2.27 GOVT-IT (financial/instrument/isma@price)
- 2.1.4.2.28 GOVT-IT-ZC (financial/instrument/isma@price)
- 2.1.4.2.29 GOVT-JP (financial/instrument/simple-yield@price)
- 2.1.4.2.30 GOVT-MALAYSIA (financial/instrument/isma@price)
- 2.1.4.2.31 GOVT-NO (financial/instrument/norwegian@price)
- 2.1.4.2.32 GOVT-NZ (financial/instrument/isma@price)
- 2.1.4.2.33 GOVT-SE (financial/instrument/isma@price)
- 2.1.4.2.34 GOVT-SG (financial/instrument/us-street@price)
- 2.1.4.2.35 GOVT-UK (financial/instrument/isma@price)
- 2.1.4.2.36 GOVT-US (financial/instrument/us-street@price)
- 2.1.4.2.37 GOVT-USAGENCY (financial/instrument/isma@price)
- 2.1.4.2.38 GOVT-ZA (financial/instrument/south-african@price)
- 2.1.4.2.39 INDEX-UK (function/index-uk@price)
- 2.1.5 Discount Margin
- 2.1.6 Calculation methods
- 2.2 Yield curves
- 2.2.1 Yield curve
- 2.2.2 Basis swaps
- 2.2.3 Yield Curve interpolation
- 2.2.4 FX rate interpolation
- 2.3 Key-figures
- 2.3.1 Valuation
- 2.3.2 Profit and Loss
- 2.3.2.1 Accrued Interest
- 2.3.2.2 Accrued Interest Local
- 2.3.2.3 Accrued Profit
- 2.3.2.4 Accrued Profit Local
- 2.3.2.5 FX Profit
- 2.3.2.6 Accrued Margin Profit
- 2.3.2.7 Accrued Margin Profit Local
- 2.3.2.8 Margin Profit
- 2.3.2.9 Margin Profit Local
- 2.3.2.10 Total Margin Profit
- 2.3.2.11 Total Margin Profit Local
- 2.3.2.12 MtoM Profit
- 2.3.2.13 MtoM Profit Local
- 2.3.2.14 Other Profit
- 2.3.2.15 Other Profit Local
- 2.3.2.16 Total Profit
- 2.3.2.17 Total Profit Local
- 2.3.3 Option figures
- 2.3.4 Risk
- 2.3.5 Dual currency
- 2.4 Performance calculations
- 2.4.1 Actual basis and all cash basis
- 2.4.2 Trade date and value date based performance
- 2.4.3 Time-weighted rate of return (TWR)
- 2.4.4 Money-weighted return
- 2.4.5 Instrument market values for third currency
- 2.4.6 Instrument market values and cashflows
- 2.4.7 Example portfolio
- 2.4.8 Risk-adjusted returns
- 2.4.9 Risk-adjusted return measures
- 2.4.10 Performance attribution
- 2.4.11 Performance measurement key-figures
- 2.5 Value-at-Risk calculations
- 2.1 Market standards
- Chapter 3 Debt instruments
- 3.1 Bond
- 3.2 Structured bonds
- 3.3 Schuldscheindarlehen
- 3.4 Denominated bond
- 3.5 Convertible bond
- 3.6 Index-linked bond
- 3.6.1 Instrument setup
- 3.6.2 Deal capture
- 3.6.3 Processing
- 3.6.4 Australian index-linked annuity bond
- 3.6.5 Australian index-linked bond
- 3.6.6 Brazilian (LFT) selic-linked security
- 3.6.7 Brazilian FX-linked NBC-E/NTN-D
- 3.6.8 Brazilian inflation-linked NTN
- 3.6.9 Canadian real return bond
- 3.6.10 French OATıi
- 3.6.11 Greek index-linked bond
- 3.6.12 Israeli index-linked bond
- 3.6.13 Italian BTP ıi
- 3.6.14 Japanese index-linked bond
- 3.6.15 Swedish index-linked bond
- 3.6.16 UK index-linked gilt
- 3.6.17 US Tips
- 3.7 Asset backed security
- 3.8 Short term loan
- 3.9 Discount paper
- 3.10 Loan
- Chapter 4 Equities
- Chapter 5 Security lending
- Chapter 6 Forex
- Chapter 7 Index
- Chapter 8 Cash
- Chapter 9 Futures
- 9.1 Forward rate agreement
- 9.2 Bond forward
- 9.3 Money market future
- 9.4 Bond future
- 9.5 Equity future
- 9.6 FX future
- 9.7 Index future
- Chapter 10 Options
- 10.1 Cap/floor/collar
- 10.2 Swaption
- 10.3 Option on MM future
- 10.4 Bond option
- 10.5 Bond Future Option
- 10.6 Equity option
- 10.7 Index option
- 10.8 FX option
- 10.9 Exchange traded FX option
- Chapter 11 Swaps
- 11.1 Interest rate swap
- 11.1.1 Single-currency IR swap
- 11.1.2 Asset swap
- 11.1.3 Cross-currency swap
- 11.1.4 Brazilian IDxUSD Swap
- 11.1.5 Overnight index swap
- 11.1.6 Other swap structures
- 11.2 Total return swap
- 11.3 Credit default swap
- 11.1 Interest rate swap
- Chapter 12 Commodities
- Chapter 13 Funds
- Appendix A Features
- A.1 Categories of features
- A.2 List of features
- A.2.1 ABS - Asset Backed Security
- A.2.2 ABS Valuation
- A.2.3 Accrual Yield Setup
- A.2.4 Allow Ad-Hoc Instructions
- A.2.5 Allow Ad-Hoc Clients/Instructions
- A.2.6 Allow Forcing Type to Spot
- A.2.7 Allow FX Currency Pair Shift
- A.2.8 Allow Manual Classification
- A.2.9 Allow Roll Over
- A.2.10 Allow Roll Over (Dual Currency)
- A.2.11 Allow Roll Over (FX)
- A.2.12 Allow Roll Over (FX - Margin Result)
- A.2.13 Allow Roll Over (repo)
- A.2.14 Allow Roll Over (Short Loan)
- A.2.15 Allow Roll Over (Short Loan - Margin Result)
- A.2.16 Allow Roll Over (FX - Swap Style)
- A.2.17 Allow Roll Over (FX - Swap Style - Margin Result)
- A.2.18 Allow Roll Over (Guarantee)
- A.2.19 Allow Security Loan
- A.2.20 Allow Sight Account Transfer
- A.2.21 Allow Signature Date
- A.2.22 Allow Spread Curves
- A.2.23 Allow Swap
- A.2.24 Allow Transaction Transfer
- A.2.25 Allow Weight Difference
- A.2.26 Allow Valuation Curves
- A.2.27 Alternative Repayment Estimates
- A.2.28 Australian Bond Future Option
- A.2.29 Australian CIB
- A.2.30 Australian FRN
- A.2.31 Australian FRN Method
- A.2.32 Australian IAB
- A.2.33 Australian IAB Valuation
- A.2.34 Australian IAB (Round to 3)
- A.2.35 Australian IAB Valuation (Round to 3)
- A.2.36 Australian IAB Par Curve Valuation
- A.2.37 Australian IAB Par Curve Valuation (Round to 3)
- A.2.38 Australian Index-Linked Bond Valuation
- A.2.39 Australian MBS
- A.2.40 Australian MBS Valuation
- A.2.41 Average FX Rate Forward
- A.2.42 Average FX Rate Valuation
- A.2.43 Average FX Rate Option
- A.2.44 Average FX Rate Option Valuation
- A.2.45 Bank Account Balance
- A.2.46 Bank Account Interest
- A.2.47 Bank Account Valuation
- A.2.48 Base IR Exposure Setup
- A.2.49 Base IR Setup
- A.2.50 Base Valuation Setup
- A.2.51 Bond
- A.2.52 Bond - Brazilian LFT
- A.2.53 Bond - Brazilian LFT Valuation
- A.2.54 Bond - Brazilian FX-Linked NBC
- A.2.55 Bond - Brazilian FX-Linked NBC Valuation
- A.2.56 Bond - Brazilian Inflation-Linked NTN
- A.2.57 Bond - Brazilian Inflation-Linked NTN Valuation
- A.2.58 Bond - Canadian RRB
- A.2.59 Bond - Canadian Index-Linked Bond Valuation
- A.2.60 Bond Denominations Setup
- A.2.61 Bond Forward
- A.2.62 Bond Forward (Swedish)
- A.2.63 Bond Forward Dates
- A.2.64 Bond Forward Valuation
- A.2.65 Bond - French OATıi
- A.2.66 Bond - French Index-Linked Bond Valuation
- A.2.67 Bond Future
- A.2.68 Bond Future - Australian
- A.2.69 Bond Future Valuation
- A.2.70 Bond Future Option Valuation
- A.2.71 Bond - Greek Index-Linked Bond
- A.2.72 Bond - Greek Index-linked Bond Valuation
- A.2.73 Bond - Israeli Index-Linked Bond
- A.2.74 Bond - Israeli Index-Linked Bond Valuation
- A.2.75 Bond - Italian BTPıi
- A.2.76 Bond - Italian Index-Linked Bond Valuation
- A.2.77 Bond Option
- A.2.78 Bond Option Valuation
- A.2.79 Bond Pricing
- A.2.80 Branch Codes
- A.2.81 Bootstrap Instrument
- A.2.82 Call Account
- A.2.83 Call Account Valuation
- A.2.84 Call Money
- A.2.85 Call Money Valuation
- A.2.86 Cancel Provisional Settlements
- A.2.87 Cap/Floor/Collar
- A.2.88 Cap/Floor/Collar Valuation
- A.2.89 Cashflow Charges
- A.2.90 Cash Collateral Account
- A.2.91 Cash Payment
- A.2.92 Choose Coupon
- A.2.93 Collateral
- A.2.94 Collateral Delivery
- A.2.95 Collateral Setup
- A.2.96 Collateral Transfer
- A.2.97 Collateral Valuation
- A.2.98 Competitive Premiums
- A.2.99 Competitive Prices
- A.2.100 Competitive Rates
- A.2.101 Competitive Rates (FX Swap)
- A.2.102 Complex Payment (cash)
- A.2.103 Convertible Bond
- A.2.104 Convertible Bond Valuation
- A.2.105 Convertible Bond Setup
- A.2.106 Cost of Carry Balance
- A.2.107 Cost of Carry Interest
- A.2.108 Cost of Carry Valuation
- A.2.109 Credit Client Setup
- A.2.110 Credit Default Swap
- A.2.111 Credit Default Swap Valuation
- A.2.112 CreditManager position template
- A.2.113 Credit Rating
- A.2.114 Credit Default Swap Curve Setup
- A.2.115 Credit-Step-Up
- A.2.116 CTD Future
- A.2.117 Currency Conversion
- A.2.118 Debt Flows Valuation (payment amount extraction)
- A.2.119 Delivery
- A.2.120 Denominated Bond
- A.2.121 Discount Paper
- A.2.122 Discount Paper OTC
- A.2.123 Discount Valuation
- A.2.124 Dividend Estimate
- A.2.125 Dual Currency
- A.2.126 Dual Currency Forecast
- A.2.127 Equity
- A.2.128 Equity Cash Dividend
- A.2.129 Equity Conversion
- A.2.130 Equity Detachment
- A.2.131 Equity Future
- A.2.132 Equity Info
- A.2.133 Equity Option
- A.2.134 Equity Option Pricing
- A.2.135 Equity Option Setup
- A.2.136 Equity Option Valuation
- A.2.137 Equity Return of Capital
- A.2.138 Equity Split
- A.2.139 Estimation Curve Setup
- A.2.140 Exotic Structure (Option)
- A.2.141 Expiry Date Setup
- A.2.142 External Valuation
- A.2.143 Fed Fund Future Chain
- A.2.144 Fed Fund Future Dates
- A.2.145 Fed Fund Future Par Valuation
- A.2.146 Fed Fund Future Valuation
- A.2.147 Filtered Valuation
- A.2.148 Fixed Bond Valuation
- A.2.149 Fixed IR Quote Valuation
- A.2.150 Fixed IR Valuation
- A.2.151 Fixed Quoted Valuation
- A.2.152 Force Trade Date Performance
- A.2.153 Forecast
- A.2.154 Forecast Valuation
- A.2.155 Forward Price Setup
- A.2.156 FRA Dates
- A.2.157 Forward Rate Agreement (Deposit)
- A.2.158 Forward Rate Agreement (Discount)
- A.2.159 Forward Rate Agreement (Swedish)
- A.2.160 FRA Valuation
- A.2.161 FRA Option
- A.2.162 FRA Option Valuation
- A.2.163 FRA Periods
- A.2.164 FRN Valuation
- A.2.165 Fund
- A.2.166 Fund Fee Accrual and Realization
- A.2.167 Fund Fee Valuation
- A.2.168 Future Dates
- A.2.169 Future Valuation
- A.2.170 FX
- A.2.171 FX Cross Method
- A.2.172 FX Estimate (Forward)
- A.2.173 FX Estimate (IR Difference)
- A.2.174 FX Fixing
- A.2.175 FX Forward
- A.2.176 FX Future
- A.2.177 FX Future Netting
- A.2.178 FX Future Valuation
- A.2.179 FX - Lagged FX Function
- A.2.180 FX Margin Result
- A.2.181 FX Valuation
- A.2.182 FX Option
- A.2.183 FX Option Compound
- A.2.184 FX Option Digital
- A.2.185 FX Option Listed
- A.2.186 FX Option Premium
- A.2.187 FX Option Pricing
- A.2.188 FX Option Setup
- A.2.189 FX Option Valuation
- A.2.190 FX Pricer (Forward)
- A.2.191 FX Pricer (Option)
- A.2.192 FX Setup
- A.2.193 FX Swap
- A.2.194 FX Swap Cost-of-Funding
- A.2.195 FX Swap Margin Result
- A.2.196 FX Swap Quote Default
- A.2.197 FX Swap Split
- A.2.198 FX Time Option
- A.2.199 FX Time Option Valuation
- A.2.200 FX Trading Platform
- A.2.201 Generic IR Valuation
- A.2.202 Generic Loan
- A.2.203 Index
- A.2.204 Index Averaging
- A.2.205 Index Composite
- A.2.206 Index Derived
- A.2.207 Index Estimate
- A.2.208 Index Future
- A.2.209 Index - Lagged Index Function
- A.2.210 Index-Linked Bond
- A.2.211 Index Option
- A.2.212 Index Option Setup
- A.2.213 Index Option Valuation
- A.2.214 Index Rebase (Index-Linked Bond)
- A.2.215 Index Totaling
- A.2.216 Index - UK Index Function
- A.2.217 Index Valuation
- A.2.218 Instrument Quote Estimate
- A.2.219 Internal Deal Mirroring
- A.2.220 IR Derivative Valuation
- A.2.221 IR Derivative Valuation Setup
- A.2.222 IR Pricer (Swap)
- A.2.223 IR Pricer (Swaption)
- A.2.224 Issue
- A.2.225 Japanese JGBi
- A.2.226 Japanese Index-Linked Bond Valuation
- A.2.227 Loan Structure
- A.2.228 Manual Charges
- A.2.229 Margin Movement
- A.2.230 Maturity Date Setup
- A.2.231 MM Future
- A.2.232 MM Future - Australian Bank Bill Future
- A.2.233 MM Future - Australian 90-Day Bank Bill Future Chain
- A.2.234 MM Future - Money Market Future Chain
- A.2.235 MM Future - Money Market 1M Future Chain
- A.2.236 MM Future - Money Market 3M Future Chain
- A.2.237 MM Future Method - Australian
- A.2.238 MM Future Dates
- A.2.239 MM Future Option
- A.2.240 MM Future Option - Australian Bank Bill Future Option
- A.2.241 MM Future Option Valuation
- A.2.242 Money Market Future Par Valuation
- A.2.243 Money Market Future Valuation
- A.2.244 Mode Specific Method
- A.2.245 Mode/Transaction Specific Method
- A.2.246 MtoM Instrument Setup
- A.2.247 Netted Instrument
- A.2.248 Non Deliverable Forward FX Instrument
- A.2.249 NumeriX Asset Swap Setup
- A.2.250 NumeriX Setup
- A.2.251 NumeriX Single-Swap Valuation
- A.2.252 NumeriX Swap Valuation
- A.2.253 NumeriX Valuation
- A.2.254 Option Dates
- A.2.255 Option Premium
- A.2.256 Option Template Setup
- A.2.257 Payment Agent
- A.2.258 Performance, Cash In/Out
- A.2.259 Performance, FX Hedge
- A.2.260 Performance, Index
- A.2.261 Per-Leg Cashflow Valuation
- A.2.262 Premium
- A.2.263 Premium Date Setup
- A.2.264 Price Exposure Setup
- A.2.265 Price Valuation
- A.2.266 Quote Default
- A.2.267 Quote Default (Australian FRN)
- A.2.268 Quote Default (Australian MBS)
- A.2.269 Quote Default (Chain)
- A.2.270 Quote Default (Collateral)
- A.2.271 Quote Default (Discount Paper OTC)
- A.2.272 Quote Default (FX)
- A.2.273 Quote Default (Short Loan)
- A.2.274 Quoted
- A.2.275 Quoted Chain
- A.2.276 Range Accrual
- A.2.277 Repo Cash Delivery
- A.2.278 Repo Cash Delivery (Floating)
- A.2.279 Repo Cash Delivery (Substitution)
- A.2.280 Repo Rounding
- A.2.281 Repo Valuation
- A.2.282 Repo Valuation (Floating)
- A.2.283 Repurchase Agreement
- A.2.284 Repurchase Agreement (Floating)
- A.2.285 Result
- A.2.286 Result with Classification
- A.2.287 RiskManager position template
- A.2.288 Risk Setup (BOND)
- A.2.289 Risk Setup (FRN)
- A.2.290 Risk Venture Capital
- A.2.291 Risk Yield
- A.2.292 Schedule Data
- A.2.293 Schedule Template Setup
- A.2.294 Schuldschein
- A.2.295 Security Identifiers
- A.2.296 Security Info
- A.2.297 Security Loan
- A.2.298 Settlement Setup
- A.2.299 Short Term Loan
- A.2.300 Short Term Loan Margin Result
- A.2.301 Short Term Loan Valuation
- A.2.302 Single Swap Valuation
- A.2.303 Special Issue
- A.2.304 Spot Date Setup
- A.2.305 Spread Curve Setup
- A.2.306 Substitution
- A.2.307 Swap
- A.2.308 Swap (Book, FX Rate)
- A.2.309 Swap (Deal, FX Rate)
- A.2.310 Swap Valuation
- A.2.311 Swaption Valuation
- A.2.312 Swaption Pricing
- A.2.313 Swap Per Leg Valuation
- A.2.314 Swap Pricing
- A.2.315 Swaption
- A.2.316 Swap, Upfront
- A.2.317 Swedish Index-Linked Treasury Bond
- A.2.318 Swedish Index-Linked Bond Valuation
- A.2.319 Ticks Netting
- A.2.320 Trading Unit (Derivative)
- A.2.321 Trading Unit (Equity)
- A.2.322 Trading Unit (Index)
- A.2.323 Trading Yield
- A.2.324 Transaction Charges
- A.2.325 Transaction Conversion
- A.2.326 Transfer (cash)
- A.2.327 TRS - Total Return Swap
- A.2.328 TRS Deferred
- A.2.329 UK ILG (3M)
- A.2.330 UK ILG (8M)
- A.2.331 UK Index-Linked Bond (3M) Valuation
- A.2.332 UK Index-Linked Bond (8M) Valuation
- A.2.333 US Index-Linked Bond Valuation
- A.2.334 US TIPS
- A.2.335 US TIPS (with Rounding)
- A.2.336 VaR Mapping Type
- A.2.337 Valuation Curve Setup
- A.2.338 Valuation Setup (Floating)
- A.2.339 Value Date Setup
- A.2.340 Volatility Surface Setup
- A.2.341 XAU Loan
- A.2.342 Yield
- A.2.343 Z-DM/Spread Setup
- Appendix B Schedules
- B.1 Schedule parameters
- B.2 Templates
- B.2.1 System-defined templates
- B.2.1.1 Primary templates
- B.2.1.1.1 ABS-MBS, Fixed Rate
- B.2.1.1.2 ABS-MBS, Floating Rate
- B.2.1.1.3 Australian Capital Indexed Bond
- B.2.1.1.4 Australian Indexed Annuity Bond
- B.2.1.1.5 Brazilian FX-Linked Bond (NBC)
- B.2.1.1.6 Brazilian IDxUSD Swap
- B.2.1.1.7 Brazilian LFT Bond
- B.2.1.1.8 Canadian Real Return Bond
- B.2.1.1.9 Cap
- B.2.1.1.10 Cap and Floor
- B.2.1.1.11 Collar
- B.2.1.1.12 Cost of Carry Compounding, Bullet Repayment
- B.2.1.1.13 Credit Default Swap
- B.2.1.1.14 Credit Default Swap, ISDA Standard
- B.2.1.1.15 Dual Currency, Known FX Rate
- B.2.1.1.16 Dual Currency, Known FX Rate, Floating
- B.2.1.1.17 Dual Currency, Unknown FX Rate
- B.2.1.1.18 Exercise
- B.2.1.1.19 Fixed Expression, Bullet Repayment
- B.2.1.1.20 Fixed, Annuity Repayment
- B.2.1.1.21 Fixed, Bullet Repayment
- B.2.1.1.22 Floating, Bullet Repayment
- B.2.1.1.23 Floor
- B.2.1.1.24 French Index-Linked Bond (OAT)
- B.2.1.1.25 Greek Index-Linked Bond
- B.2.1.1.26 Guarantee, Fixed underlying
- B.2.1.1.27 Guarantee, Floating underlying
- B.2.1.1.28 Israeli Index-Linked Bond
- B.2.1.1.29 Israeli Index-Linked Bond Galil
- B.2.1.1.30 Italian Index-Linked Bond (BTP)
- B.2.1.1.31 Japanese Index-Linked Bond
- B.2.1.1.32 LPI-Linked Annuity Repayment
- B.2.1.1.33 Multi Currency, Bullet Repayment
- B.2.1.1.34 Revisable, Bullet Repayment
- B.2.1.1.35 Revisable, Open-ended, Bullet Repayment
- B.2.1.1.36 RPI-Linked Interest and Capital, Annuity Repayment
- B.2.1.1.37 RPI-Linked Interest and Capital, Bullet Repayment
- B.2.1.1.38 Swedish Index-Linked Bond
- B.2.1.1.39 Swedish Index-Linked ZC Bond
- B.2.1.1.40 Target Redemption
- B.2.1.1.41 Target Redemption, Fixed Then Floating
- B.2.1.1.42 United Kingdom Index-Linked Gilt (3M)
- B.2.1.1.43 United Kingdom Index-Linked Gilt (8M)
- B.2.1.1.44 US Treasury Inflation Protected Security
- B.2.1.1.45 XAU, Unknown FX Rate, Fixed
- B.2.1.1.46 Zero-Coupon
- B.2.1.1.47 Zero-Coupon Swap Leg
- B.2.1.2 Secondary templates
- B.2.1.2.1 Accreting Dates
- B.2.1.2.2 Amortization
- B.2.1.2.3 Amortization, Floating
- B.2.1.2.4 Amortization, To Propagate to Other Legs
- B.2.1.2.5 Call/Put
- B.2.1.2.6 Call/Put, Referenced
- B.2.1.2.7 Capitalizing
- B.2.1.2.8 Capitalizing, with Amortization
- B.2.1.2.9 Compounding
- B.2.1.2.10 Compounding, with special Fixing Offset
- B.2.1.2.11 Convertible Conversion
- B.2.1.2.12 Currency Conversion
- B.2.1.2.13 Delaying
- B.2.1.2.14 Ex Dates
- B.2.1.2.15 Fixing Dates
- B.2.1.2.16 Interest, Fixed
- B.2.1.2.17 Interest, Fixed Annuity
- B.2.1.2.18 Interest, Fixed, In Sequence
- B.2.1.2.19 Interest, Fixed, Referenced
- B.2.1.2.20 Interest, Fixed, Up-Front
- B.2.1.2.21 Interest, Fixed, Up-Front, Referenced
- B.2.1.2.22 Interest, Floating
- B.2.1.2.23 Interest, Floating, In Sequence
- B.2.1.2.24 Interest, Floating, Referenced
- B.2.1.2.25 Interest, LPI-Linked
- B.2.1.2.26 Interest, LPI-Linked Annuity
- B.2.1.2.27 Interest, RPI-Linked
- B.2.1.2.28 Knock-In
- B.2.1.2.29 Knock-In with Rebate
- B.2.1.2.30 Knock-Out
- B.2.1.2.31 Knock-Out with Rebate
- B.2.1.2.32 Margin
- B.2.1.2.33 Payment Dates
- B.2.1.2.34 Principal Increase
- B.2.1.2.35 Principal Increase, Floating
- B.2.1.2.36 Principal Increase, RPI-Linked
- B.2.1.2.37 Principal Increase, with Amortization
- B.2.1.2.38 Redemption Premium
- B.2.1.2.39 Redemption Premium, Floating
- B.2.1.2.40 Referee, Floating
- B.2.1.2.41 Transaction Conversion, to Fixed Interest
- B.2.1.2.42 Transaction Conversion, to Fixed Interest, Referenced
- B.2.1.2.43 Transaction Conversion, to Floating Interest
- B.2.1.2.44 Transaction Conversion, to Floating Interest, Referenced
- B.2.1.2.45 Trigger
- B.2.1.2.46 Up-Front Discounting
- B.2.1.2.47 Value Dates
- B.2.1.1 Primary templates
- B.2.2 User-defined templates
- B.2.1 System-defined templates
- B.3 Schedule template groups
- Appendix C Option schedules
- Appendix D Expressions
- D.1 Expression syntax
- D.2 Market references in expressions
- D.3 Constants in expressions
- D.4 Functions in expressions
- D.4.1 Basic functions
- D.4.2 Referring functions
- D.4.3 Special functions
- D.4.3.1 UK RPI index market reference - ixuk
- D.4.3.2 Index lag
- D.4.3.3 FX lag
- D.4.3.4 Index Ratio - ixratio
- D.4.3.5 Instrument-specific index - iix
- D.4.3.6 Swedish CPI market reference - ixse
- D.4.3.7 Price - price
- D.4.3.8 Instrument quotes - iq
- D.4.3.9 Range accrual - range
- D.4.3.10 Compound
- D.4.3.11 Average
- D.4.3.12 Dual
- D.4.3.13 ixau
- D.4.4 Special characters