BondCalc: Swap Input
If any of included securities is in a currency that is different
from the base currency then all monetary amounts will be converted
back to the base. If none of the currencies have any appreciation
rates then numbers will be balanced to the same.
SECURITY Name - If you enter a valid number greater than one an
additional input screen will pop up allowing that side of the
swap to include issues up to the number input. When using this
feature the Date, Price, Yield, and Ending Rate on the Main
Screen will be ignored. Units, below, still balances the sides
with percentages on the subsidiary screen controlling the issues
within a side. If you enter 9900 on the new side you will get an
optimized municipal refunding using SLGs from the ^G database.
Opt Settlement Date - If blank defaults to global one. If ALL are
entered AND are the same, then the program uses that date as the
settlement date for the deal. (When dates offset this feature is
subject to my interpretation.)
Price OR Yield - If left blank will read from the SECURITY input.
NOTE that the Price input here will be adjusted by the Price
Basis on issue's input screen. To enter a fraction in 32nds for
Price enter a + between the integer and the 32nds numerator. To
enter 64ths enter a 32nd with .5 tacked on. Yield will always be
in DISPLAY frequency unless money market or modified with a
backsolving letter after a +. See help for security's yield
field for full discussion. Prefix input with a + to make it a
Units - This is the amount that you are selling. 1000 gives
numbers per bond. 100 gives answers in percents. Enter an
amount for the buy side ONLY when Type 1 in the Swap
Weighting field below.
Opt. Ending Rate/Name - If blank the Reinvestment Rate entered
in the field below is used. Otherwise this field can be
filled in three ways. Any number >25 is considered to be a
price and will be the redemption price on the Workout date.
If 25 or less it is a yield and BondCalc will calculate what
the price would be on that date using all schema input still
in effect. If a SCENARIO name is input the yield will be
interpolated from it, then the price calculated. A basis point
spread can be entered after the name if a '+' sign is used as a
Swap Weighting - Your choices for balancing between the sides of
the swap are:
1-Input Enter the amount to Buy
2-Par/Par Matches par amts of issues
3-$/$ Matches amounts in time 0
4-Mod Dur Modified Duration - Balances Risk
5-Price/Price Prices of Issues matched (no accrued interest,
which is of the past and not part of the swap)
6-Avg Life Balances like #4 above
7-Mod $/$ Like #2 and #5 but is after tax (no acc int)
Workout Date - This is the date that ends the analysis. It is
treated the same as the Horizon Date in the single issue section.
If left blank it defaults to the first maturity date of the
included issues. If past a maturity date all flows will be
reinvested at the Reinvestment Rate. The analysis will stop at
the last maturity date if a later date is entered.
Reinvestment Rate - Enter a number or a Scenario name. If left
blank and there are only two issues in the analysis it defaults
to the sell yield (buy side if running existing security PV
reports or is issuer point-of-view). If more than two issues it
is required input. An entered rate will be assumed to be in the
display frequency. A basis point spread can be entered after the
name if a '+' sign is used as a delimiter.
Calculate After Tax - Will affect the report calculations only.
ISSUER point-of-view will automatically turn on. Enter Code 1 to
include purchase information on the sell side. Enter Code 2 to
ignore past tax effects.
Tax Handling of Retirement Gain/Loss - on Earnings Effects Report.
0 - Do not amortize, expense in time 0 (Am. industrials use)
1 - Amortize straight-line over life of new
2 - Amortize stright-line over life of old
3 - Amortize on level yield over life of new [NOT YET.]
Pretax Reinvestment Rate for Cumulative Cash Flow - on Earnings
Effects Report. This rate, which defaults to the discount rate
if blank, is used to calculate an earnings effect opportunity
cost for the swap cash differences.
Optional Buy/Refunding Discount Rate/Name - If a valid percent or
Scenario name is entered an additional present value calculation
will be made on the single security after tax cash flow report
when the settlement date is past the purchase date. If a name is
entered each flow will be discounted with the rate interpolated
from the time 0 curve. [or use Reinvestment Rate above]
Avoided Cash Flows to - [UNDER DEVELOPMENT]