Element Definition Manager:
The Element Definition Manager allows the creation of individual rate indices (‘elements’) such as 1M LIBOR, FEDFUNDS, Futures contracts, spreads, proprietary cost of funds indices, FX rates, etc. The Element Definition Manager is used by several other TTMS modules such as the trade managers and rate reset manager for floating rate trade administration, debt issuance benchmarking analytics, cross-currency conversion, and mark to market pricing.
Market Data Rate History Manager
Market Data Rate History Manager manages current and historical values (prices, rates, etc.) for individual market data elements.
Formula Manager
The Formula Manager is used by the Element Definition Manager to capture user defined rate formulas.
Market Data Curve Manager
The Market Data Curve Manager allows the creation of yield and spread curves for mark to market and performance benchmarking purposes. Curves are comprised of Elements.
Miscellaneous Market Data Setup
Market Data setup includes several miscellaneous low level reference modules.
Element Detail
The detail tab contains definition information for the element.
| Field Name | Field Description | Mandatory? |
1. | Code | A user-defined code name or short name for the element. | Y |
2. | Name | A descriptive name or long name for the element. | Y |
3. | Holiday | The holiday schedule associated with the index. | Y |
4. | Base Group | The base group is the generic family of indices the element belongs to (such as LIBOR, CPI, Swap Rates, etc.) | Y |
5. | Domain | The domain is a Trovata TMS concept (predefined) and tells the Trovata TMS module whether the element is a rate, spread, or volatility. | Y |
6. | Quoted By Ind | Defines how the rate entered by the user should be interpreted by Trovata TMS (i.e. a discount rate, annual rate, futures price, FOREX forward, FOREX spot, etc.) | Y |
7. | Suffix | Suffix is used for a related set of elements (1W, 1M, 2M) | N |
8. | Type | Simple or User-Defined. User-Defined will reveal a formula box in the bottom left corner which can be used to create elements by combining other elements. | Y |
9. | Base Currency | Base currency for FOREX elements | Y |
10. | Quoted Currency | Quoted Currency for FOREX elements | N |
11. | Ticker ID | Optional ticker identifier. Also used to define the external source element code in case mapping is needed. | N |
12. | Term Start / Term End | The Term Start and Term End is used for performance benchmarking and define time bands around the rate so that users can control interpolation behavior. Rates that fall within the band for a given rate will not be interpolated; if they fall outside the band, interpolation will occur. | N |
13. | Settles On | Establishes the beginning date assigned to a specific market data element. | N |
14. | Settle Except | The exception (non-business day) rule to apply to the settlement date of the index. | N |
15. | Terminates On | Establishes the end date assigned to a specific market data element. | N |
16. | Terminate Except | The exception (non-business day) rule to apply to the termination date of the index. | N |
17. | Accrual | The day count convention of the rate. Mark-to-market depends on this setting when normalizing curves. | N |
18. | Compound Freq | How often the rate should be compounded. This is needed in the calculation of zero rates and discount factors. | N |
19. | Rounding Method | The rounding convention for the rate. | N |
20. | Rounding Digits | How many decimal places the rate will be rounded to. | N |
21. | Rate Feed | Rate Feed indicator specifies whether the rate is manually or automatically fed (i.e. via a rate feed). If the rate is fed, the user must pick a valid interface. Note that rate feeds are optional for any given Trovata TMS installation. | N |
22. | Rate Source | Rate Source (for the rate feed) | N |
23. | Frequency | How often is the rate fed | N |
24. | History Frequency | When purging rate history, what frequency to keep online. Note that purging scripts are typically customized per installation. | N |
25. | History Retention | How long market data history is will be maintained before purging. | N |
26. | Rate Type | Cash, Futures, Swaps, etc. | Y |
Foreign Exchange Elements
Users can enter FX rates and points by toggling the Quoted By Ind. The domain should be set to either FXF (Forward) or FXS (Spot). The Suffix should be filled in for all foreign exchange elements, and is particularly important when defining a set of forward rates to be used on a curve. For instance, the suffix may be ‘1W’ to represent one week, or 1M to represent 1 Month.
Market Data Rate History Manager
Market Data Rate History Manager is the central repository for all current and historical values (prices, rates, etc.) for individual market data elements. Market data can be manually entered and can also be imported using Trovata TMS Market Data Import.
To change existing market data, search for the rates by their determination date and any other filter criteria in ‘Change’ mode. To add new market data, search in ‘Add’ mode.
Rates
From this window users can change rates for elements on a specific effective date. Just click once on any rate and it will become editable.
To export the results to Excel, click on the Excel button and a new browser window will open with the data propagated to an Excel spreadsheet. This file can then be saved to a local drive and be manipulated like any other Excel worksheet.
Element Formulas
The Formula Manager allows the user to create user defined formulas. These user defined formulas can then be used when defining elements who “Type” are “user-defined” (i.e. not simple).
Formulas are interpreted (calculated) in other Trovata TMS modules such as Rate Reset Manager which supports the evaluation of formulae when calculating rate resets for floating rate trades.
Formulas must be fully parenthesized expressions with only two arguments. See the examples below to see an illustration of this.
Variables
Users may refer to other Elements in the formula (for example one can create a formula that is the average of two rates). The Elements must be “simple” types: formulas cannot refer to other formulas.
Operators
The following operators are supported:
Operation | Symbol to use |
Addition | + |
Subtraction | - |
Multiplication | * |
Division | / |
Logical Expressions
This version of the Formula Manager does not support logical expression evaluation (i.e. “If Then Else” logic).
Syntax Checking
The formula manager will check for proper formula syntax when saving the formula.
Example
The following are examples of valid expressions. Note that INDEX1 and INDEX2 are assumed to be valid ‘simple’ elements.
Ex 1:
((INDEX1 + INDEX2)/2)
Ex 2:
((INDEX1 * 0.75) + 0.125)
Warning – elements which have a code that begins in a number should not be used in formulas.
Curve Manager
The Trovata TMS Market Data Curve Manager allows users to associate benchmark market rates or prices to combine base and spread curves. Such curves are used as inputs to the Mark to Market pricing modules and can also be used for benchmarking purposes in the Short Term Debt trade manager.
Curve Definition
This screen is used to define certain characteristics of a curve.
| Field Name | Field Description | Mandatory? |
1. | Curve | User-defined code or short name for the curve | Y |
2. | Name | User-defined long name for the curve | Y |
3. | Status | Inactive or Active Status | Y |
4. | Domain | Domains are Trovata TMS’s method for grouping elements. These will typically be pre-set-up by the system. | Y |
5. | Type | Made up of a single curve or aggregate curves. | N |
6. | Currency | A currency associated with the base group definition. Use the lookup to the ATI_CURRENCY table or enter a valid currency code. | Y |
7. | Formula | Formula for aggregating curves | N |
8. | O/P Rate Freq |
| N |
9. | O/P Rate Accrual |
| N |
10. | Smoothing? |
| N |
Curve Elements
This screen lists the elements that make up the curve. In ‘add’ and ‘change’ mode, users can pick which elements will be used. In ‘Add’ mode, right click the first blank row and click ‘Insert.’ Next, double click on the ‘Element’ column and choose the element as predefined in the ‘Element Manager.’
Other Market Data Reference
Rate Source
Rate source definition defines the valid rates feeds available for any given installation. Rate feed implementation is not covered in this user guide.
| Field Name | Field Description | Mandatory? |
1. | Source | User-defined short name for the source. | Y |
2. | Name | User-defined long name or description for the source. | Y |
3. | Transmission Type | Transmission Type. | Y |
4. | FTP Address | File Transfer Protocol Address. | N |
5. | Login | Login Name. | N |
6. | Password | Password corresponding to login name. | N |
7. | Remote File Dir. |
| N |
8. | Remote File Nm. |
| N |
9. | File Dir. |
| N |
10. | File Nm. |
| N |
Base Group
The Element Base Group is used to designate the ‘family’ the element belongs to (i.e. LIBOR, CPI, etc.)
| Field Name | Field Description | Mandatory? |
1. | Base Group | User-defined short name for a group of indices or elements such as LIBOR, CPI, Swap Rates, etc. | Y |
2. | Currency | A currency associated with the base group definition. | Y |
3. | Name | User-defined long name or description. | Y |
Domain
Domain is used by Trovata TMS so that it knows what type of rate an Element belongs to: (i.e. rate, spread, or volatility). This is a system defined required table and should not be changed.
| Field Name | Field Description | Mandatory? |
1. | Domain | User-defined short name or code for a Trovata TMS concept (usually predefined) that tells the Trovata TMS module whether the element is a rate, spread, or volatility. | Y |
2. | Name | User-defined long name or description. | Y |