Derivatives in Calypso

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Derivatives in Calypso

• Dr Philip Symes,
• June 2006

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1. Introduction

• Calypso is a cross-asset, integrated,
  front-to-back trading system
• Calypso has many options for setting-up and
  pricing interest rate derivatives

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2. Techniques Covered

• Setup
• Booking Trades
• Reports Scenarios
• Using Calypso in a debugger (e.g. Eclipse)

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4. IRD Trades Covered

• IRD
• Vanilla swaps
• Caps and floors
• Collars and straddles
• Exotic Swaps
• Capped swap
• Callable swap
• Swaptions
• Credit Derivatives
• Credit default swaps (CDS)
• Currency Swaps

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4. Swaps

• Portfolio of Example Bank

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7. Summary

• Setup
• Booking Trades
• Reports Scenarios
• Using Calypso in a debugger (e.g. Eclipse)