FX Trades in Calypso

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FX Trades 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 deals with FX transactions in a similar
  way to other transactions, with some special
  setup
• We will look at the way that Calypso arranges
  trades

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2. Techniques Covered

• Back Office Setup for FX
• Trading Environment
• Portfolios, books, workspaces, etc.
• Booking Spot and Forward Trades
• Bulk Trades
• Pricing Trades
• Importing Trades

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3. General Setup

• The following engines should be running for FX
  transactions
• Data Server (which starts the Event Server)
• Position Engine
• Liquidation Engine
• Transfer Engine
• Message Engine
• Quote Engine
• Limit Engine
• Environment properties should be set in UserEnv
  from AppStarter
• MainEntry can be customised for FX by using
  FXMainEntry.props
• Set the environment property and configure the
  trade window

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4. Static Data Checklist

• Set currencies and currency pairs
• Define FX rates
• Define brokers (Legal Entities)
• Books and hierarchies
• Trade filters

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5. Market Data Checklist

• Ensure the following elements of the FX pricing
  environment are setup correctly
• Pricers
• Zero curves
• FX curves
• Quote sets
• FX pricing parameters
• The Quote Server (Market Data ? FX Quotes) deals
  with valuation, spread and blending
• Calypso can also handle realtime quote feeds

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6. Realtime FX Quote Random Feed

• Go to Static Data ? Config ? Feed Config
• Select Random for real-time simulation
• Select the file resources/samples/QuoteGenTest.tx
  t
• Setup Market Data ? Feed Address Config

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3. Portfolios

• Portfolio a trade filter to select certain
  trades (Static Data ? Reference Data ? Trade
  Filter).
• Create a new swap filter
• NB only filters on trade criteria

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3. Bundles and Filter Sets

• Calypso also has the following trade collections
• Workspace a static collection of trades, which
  can have dynamic criteria added to it, e.g. books
• Book a dynamic collection of trades
• Bundle a dynamic link of trades, e.g. to link
  trades and hedges in a strategy (see next slide)
• Filter set a dynamic filter with any criteria
• Legal entity a dynamic counterparty based
  collection

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3. Spot Trades

• Blotter -gt FX Trading Pad
• On trade screen, double click book or
  counterparty to add to favourites list

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3. Entering Spot Trades

• Blotter -gt FX Trading Pad

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3. Brokerage

• Go to Config ? Workflow ? Workflow and add a
  BrokerFees rule
• Go to Config ? BrokerageFeeConfig to set this up
• Go to Config ? BrokerageDiscountConfig to setup
  volume discounts to these fees

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3. Sales Margins Additional Fees

• Go to Reference Data ? Fee Definitions to add a
  predefined margin
• Go to Config ? FX Config ? FXMarginFeeConfig to
  apply this fee to FX transactions
• You can also setup additional fees in Fee
  Definitions

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4. FX Swap
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5. FX Forward
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6. Cross Rate Solving

• Trade -gt FX -gt Spot in Trading Pad

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7. FX Non-deliverable Forward

• Used when a forward rate is needed on an illiquid
  currency, so the contract is settled in a liquid
  currency instead

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8. FX Future

• Setting-up reports to show different aspects of
  the portfolio
• PL
• Risk
• NPV
• Using the Scenario system to create bespoke
  reports
• Effect of steepening the IR curve on the NPV of a
  portfolio
• Exporting reports to PDF and Excel

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9. Pricing Trades

• View -gt View Pricing

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10. Entering Bulk FX Trades

• FXBulk Trades

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11. Importing FX Trades

• Trade -gt FX -gt TradeImport in .csv format

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12. Target Setup FX Book

• Add some FX transactions to an FX book

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13. Summary

• Target Setup for FX