From Flametree Technologies
The following table shows how to model specific security types in FIA, using the systems's building blocks.
In many cases there is more than one way to set up a security, so these recommendations need not be taken as definitive.
Please note that this page is continually being revised and amended. If you need advice on how to model a particular security type that is not shown here, please contact Flametree.
Notes
Where a security's suggested type is PERTURBATIONAL, its pricing function should be left blank.
A
| Security type
|
Function
|
Notes
|
| Agency bond
|
FT_BOND_ZERO_CURVE
FT_BOND_YTM
Perturbational security
|
Treat as vanilla coupon-paying bond
|
| Adjustable rate mortgage (ARM)
|
Perturbational security
|
Cashflows may be unknown or very complex, so it is usually easier to use risk numbers (modified duration, convexity) as a proxy for a full pricing model
|
| Amortizing bond
|
FT_SINKER_ZERO_CURVE
|
Amortizing bonds may have repayment rates set to zero
|
| Amortizing cap
|
|
|
| Amortizing swap
|
|
|
| Annuity indexed bond
|
|
|
| Asset-backed security (ABS)
|
FT_SINKER_ZERO_CURVE
|
|
| Asset swap
|
|
|
| Asset swapped convertible option transaction (ASCOT)
|
|
|
| AU/NZ capital indexed bond
|
|
|
| Auto callable note
|
|
|
B
C
| Security type
|
Treatment
|
Notes
|
| Cap
|
|
|
| Cash
|
FT_CASH
FT_ZERO_INTEREST_CASH
|
Depending on the type of cash held, a cash holding may or may not generate interest. Cash deposits and margin equity typically generate interest, while futures offsets does not.
|
| Cash flow stream
|
|
|
| Capital indexed bond
|
Inflation-linked bond
|
Model as a bond where cash flows are discounted off the real yield curve, plus a inflation carry return
|
| Cash interest accrual
|
FT_ZERO_INTEREST_CASH
|
|
| Catastrophe bond
|
FT_ZERO_INTEREST_CASH
|
|
| CDS
|
CDS
|
|
| CDS option
|
|
|
| CDS index
|
|
|
| Certificate of deposit (CD)
|
|
Model as a bond with coupon equal to final payment and a zero coupon frequency
|
| CFD
|
|
|
| Cliquet option
|
|
|
| CMBS
|
Perturbational security
|
The cashflows of a CMBS may be unknown or very complex, so it is usually easier to use risk numbers (modified duration, convexity) as a proxy for a full pricing model
|
| CMO
|
Perturbational security
|
Cashflows may be unknown or very complex, so it is usually easier to use risk numbers (modified duration, convexity) as a proxy for a full pricing model
|
| Collar
|
|
|
| Commercial paper
|
BILL
|
|
| Commodity Future
|
Zero interest cash
|
|
| Commodity Index Future
|
FT_EQUITY
|
No interest rate exposure assumed
|
| Contract for Difference (CFD)
|
FT_EQUITY
|
No interest rate exposure assumed
|
| Convertible Bond
|
BOND/EQUITY
|
Use effective date feature to convert between two types
|
| Corporate bond
|
FT_BOND_ZERO_CURVE
FT_BOND_YTM
Perturbational security
|
|
| Coupon deferrable bond
|
FT_BOND_ZERO_CURVE
FT_BOND_YTM
Perturbational security
|
Effective date feature may be used to model varying coupons
|
| Credit Default Swap
|
CDS
|
Return is assigned to CDS residual bucket
|
| Credit Default Swaption
|
CDS
|
Return is assigned to CDS residual bucket
|
| Currency Future
|
FORWARD
|
|
| CDO (synthetic)
|
|
|
| CMBS
|
|
|
| Cross-currency swap
|
|
|
D
| Security type
|
Treatment
|
Notes
|
| Debenture
|
BOND/FRN
|
|
| Deliverable swap future
|
|
|
| Double strike cap
|
|
|
| Double strike floor
|
|
|
| Drop-in scenario instrument
|
|
|
| Dual currency deposit
|
|
|
| Dual-indexed floater
|
FRN
|
|
E
| Security type
|
Treatment
|
Notes
|
| Emerging market bond
|
BOND or EQUITY
|
If no reference yield curve data is available, or if an EM bond trades like an equity, a Brinson-style analysis may be preferred
|
| Equity
|
|
|
| Equity accumulator
|
|
|
| Equity average rate option
|
|
|
| Equity basket option
|
|
|
| Equity correlation swap
|
|
|
| Equity double barrier option
|
|
|
| Equity future
|
|
|
| Equity future option
|
|
|
| Equity linked note
|
|
|
| Equity rebate barrier option
|
|
|
| Equity single barrier option
|
|
|
| Equity ADR/GDR
|
EQUITY
|
|
| Equity Index
|
EQUITY
|
|
| Equity Index Future
|
EQUITY
|
|
| Equity Index Option
|
OPTION
|
|
| Equity Index Option-OTC
|
OPTION
|
|
| Equity Option
|
OPTION
|
|
| Equity Option-OTC
|
OPTION
|
|
| Equity Ordinary Share
|
OPTION
|
|
| Equity Preferred Share
|
EQUITY
|
|
| Equity Swap
|
PORTFOLIO with one EQUITY and one FRN asset
|
|
| Equity variance swap
|
|
|
F
| Security type
|
Treatment
|
Notes
|
| Fixed Bond
|
BOND
|
|
| Fixed indexed annuity
|
BOND or INFLATION_LINKED
|
Model as a bond where cash flows are discounted off the real yield curve, or as an indexed bond with given CPI rates
|
| Floating Rate Note
|
FRN
|
Use effective date feature to update coupon
|
| Forward FX
|
FORWARD
|
|
| FRA
|
CASH
|
Can be modelled in more detail
|
| Fund
|
PORTFOLIO
|
|
| FX option (all types)
|
OPTION
|
Return may be assigned to 'Option' instead of 'Residual'
|
| FX spot
|
CASH
|
|
| FX Swap
|
PORTFOLIO with one CASH and one FORWARD asset
|
|
| F
|
FX forward
|
|
|
| FX future
|
|
|
| FX future option
|
|
|
| FX digital option
|
|
|
| FX forward volatility agreement
|
|
|
| FX option
|
|
|
| FX correlation swap
|
|
|
| FX variance/volatility swap
|
|
|
| FX average rate option
|
|
|
| FX double barrier option
|
|
|
| FX rebate barrier option
|
|
|
| FX single barrier option
|
|
|
| Flip-flop bond
|
|
|
G
| Security type
|
Treatment
|
Notes
|
| Generic inflation indexed
|
|
|
| Generic barrier option
|
|
|
I
| Security type
|
Treatment
|
Notes
|
| Inflation Linked Bond
|
INFLATION_LINKED
|
|
| Inflation Swap
|
PORTFOLIO with one INFLATION_LINKED and one BOND/FRN asset
|
|
| Interest Rate Future
|
BILL_FUTURE/BOND_FUTURE
|
|
| Interest Rate Future Option
|
OPTION
|
|
| Interest rate swap
|
PORTFOLIO with one BOND and one FRN asset
|
|
| Inverse FRN
|
FRN
|
|
| Interest rate swap option
|
OPTION
|
|
| Islamic bond
|
EQUITY
|
|
| Inflation cap
|
|
|
| Inflation floor
|
|
|
| Inflation indexed bond
|
|
|
| Inflation indexed liability
|
|
|
| Inflation indexed swap
|
|
|
| Inflation swap
|
|
|
| Interest rate digital option
|
|
|
| Interest rate future
|
|
|
| Interest rate future option
|
|
|
| Interest rate spread option
|
|
|
L
| Security type
|
Treatment
|
Notes
|
| Leveraged lease
|
CASH
|
|
| Loan
|
CASH
|
Interest on loan may be set using cash rate
|
M
| Security type
|
Treatment
|
Notes
|
| Mandatory convertible bond
|
|
|
| Money market deposit
|
|
|
| Mutual fund
|
|
|
| MBS
|
SINKER
|
|
| Mortality bond
|
EQUITY
|
|
| Multi-currency Interest Rate Swap
|
PORTFOLIO with two BOND assets, representing each currency leg
|
|
| Muni
|
BOND
|
Munis often have extensive optionality features, hence residual return may be assigned to a global 'Option' bucket or to muni-specific optionality returns
|
O
| Security type
|
Treatment
|
Notes
|
| Overnight Index Average Swap
|
EQUITY
|
|
| Overnight Indexed swap
|
EQUITY
|
|
P
| Security type
|
Treatment
|
Notes
|
| Pass-through
|
Perturbational security
|
Cashflows may be unknown or very complex, so it is usually easier to use risk numbers (modified duration, convexity) as a proxy for a full pricing model
|
| Payment-in-kind (PIK) loan
|
CASH
|
|
| Perpetual bond
|
BOND
|
Modelled by setting maturity to, eg, 100 years in future
|
| Prepay FRN
|
FRN
|
|
| Promissory note
|
BILL
|
|
R
| Security type
|
Treatment
|
Notes
|
| Range accrual note
|
|
|
| Reverse convertible
|
|
|
S
| Security type
|
Treatment
|
Notes
|
| Stepped FRN
|
FRN
|
|
| Step-up bond
|
BOND
|
|
| Step-up recovery FRN
|
FRN
|
|
| Straddle
|
|
|
| Securitized products
|
|
|
T
| Security type
|
Treatment
|
Notes
|
| TBA
|
Perturbational security
|
Cashflows may be unknown or very complex, so it is usually easier to use risk numbers (modified duration, convexity) as a proxy for a full pricing model
|
| TIPS
|
BOND or INFLATION_LINKED
|
Model as a bond where cash flows are discounted off the real yield curve, or as an indexed bond with given CPI rates
|
| Total Return Swap
|
PORTFOLIO
|
Portfolio is made up of underlying assets
|
| Treasury
|
BOND
|
|
| Treasury bill (TBILL)
|
BILL
|
|
| Treasury lock
|
|
|
| Treasury note
|
BOND
|
|
U
| Security type
|
Treatment
|
Notes
|
| UK inflation-linked gilt CMO
|
|
| US agency MBS
|
|
|
| US non-agency MBS
|
|
|
V
| Security type
|
Treatment
|
Notes
|
| Vanilla FRN
|
FRN
|
|
| Variable rate FRN
|
FRN
|
|
W
| Security type
|
Treatment
|
Notes
|
| Warrant
|
CASH
|
|
Y
| Security type
|
Treatment
|
Notes
|
| Year-on-year inflation swap
|
|
|
Z
| Security type
|
Treatment
|
Notes
|
| Zero-coupon bond
|
|
|
| Zero-coupon swap
|
PORTFOLIO with one FRN and one BILL
|
|
