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V_FTBBYCCSPRD - Define Credit Spread IDs

V_FTBBYCCSPRD - Define Credit Spread IDs

BAL Application Log Documentation   PERFORM Short Reference  
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Set up credit spread IDs by configuring their attributes.

Defining credit spread IDs is a prerequisite for the following functions:

  • Entering credit spread market data into the system
  • Constructing credit spread curve structures out of credit spreads with different times to maturity

The credit spread ID defines general properties of a credit spread.

To store market data, you also need to specify the reference entity (such as your business partner) to which a spread refers. To this end, you need to define reference entities.

  • You can use credit spread curves in the price calculator.

  1. Choose New Entries.
  2. Enter the credit spread ID in the Credit Spread ID field (15 digits).
  3. Enter a description for the credit spread ID.
  4. In the Market Data Quotation area, you can define how the yield curve framework interprets the market data by setting the following fields:
  • Payment Frequency

  • Compounding Frequency

  • Fixing Period

  • Working Day Shift

  • Calendar

  • Interest Calculation Method

  • Maturity at Month End

  1. In the Expert Settings area, choose the default setting in the Usage field, unless you want to implement a conversion logic of your own to convert the market data to spreads for usage in the yield curve framework.






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