Trade loader for Swaption

This page details the Strata CSV format for loading Swaptions. See the overview page for details of other assets classes.

Trade loader file format

The trades file is a CSV-formatted file. The columns may be specified in any order. The CSV format is flexible, and the input can specify trades in various ways.

Swaptions can be specified using two different column sets - by convention and by full details. The two column sets can be mixed in the same file. In addition, a single file can contain other asset classes, such as Swaps or FRAs. Just add the union of the column headers and fill in the necessary data on a row by row basis.

Example

This example file specifies a Swaption trade by convention.

Strata Trade Type, Trade Date, Convention,            Buy Sell, Period To Start, Tenor, Notional, Fixed Rate, Long Short, Payoff Settlement Type, Expiry Date, Expiry Time, Expiry Zone,  Premium Direction, Premium Date, Premium Currency, Premium Amount
Swaption,          2017-06-01, GBP-FIXED-1Y-LIBOR-3M, Buy,      P1M,             P5Y,   2000000,  0.4,        Long,       Physical,               2017-06-03,  11:00,       Europe/Paris, Pay,               2017-03-03,   GBP,              1000

Note that Microsoft Excel prefers the CSV file to have no spaces after the comma.

Swaption by convention

These columns are used when loading a Swaption trade by convention. See also the overview page for additional optional columns that can be used to specify the identifier and counterparty.

Column name Mandatory? Underlying Description
Strata Trade Type Mandatory   The type of the trade, “Swaption”, case insensitive
Start Date Conditional Y The unadjusted start date, such as “2017-06-01”, see accepted formats
End Date Conditional Y The unadjusted end date, such as “2022-06-01”, see accepted formats
Period To Start Conditional Y The period from the trade date to the trade start date, such as “P2M” or “2M”
Tenor Conditional Y The period from the start date to the end date, such as “P5Y” or “5Y”, see accepted formats
Convention Mandatory Y The Swap convention, such as “GBP-FIXED-1Y-LIBOR-3M”
Buy Sell Mandatory Y Whether the Swap is “Buy” or “Sell”
Notional Mandatory Y The notional amount, currency defined by the convention
Fixed Rate Mandatory Y The fixed rate, as a percentage, such as “1.2” for 1.2%
FX Rate Conditional Y The FX rate, mandatory for cross-currency swaps
Roll Convention Optional Y The roll convention, such as “Day21” or “EOM”
Stub Convention Optional Y The stub convention, such as “ShortInitial”
First Regular Start Date Optional Y The unadjusted start date of the first regular accrual period, such as “2017-09-01”, see accepted formats
Last Regular End Date Optional Y The unadjusted end date of the last regular accrual period, such as “2022-03-01”, see accepted formats
Date Convention Optional Y The business day convention, such as “Following” or “ModifiedFollowing”
Date Calendar Optional Y The holiday calendar to use, such as “GBLO”
Long Short Mandatory   Whether the option is “Long” or “Short”
Payoff Settlement Type Mandatory   The type of payoff settlement, “Physical”, “CashPrice”, “ParYield”, “ZeroCouponYield”, “CollateralizedCashPrice”
Payoff Settlement Date Conditional   The date of the payoff settlement, mandatory unless type is “Physical”
Expiry Date Mandatory   The expiry date, such as “2017-06-01”, see accepted formats
Expiry Time Mandatory   The expiry time-of-day, such as “11:00”, see accepted formats
Expiry Zone Mandatory   The expiry zone, such as “Europe/Paris” (IANA time zone names) or “+02:00”
Premium Direction Mandatory   The premium direction, “Pay” or “Receive”
Premium Currency Mandatory   The premium currency, such as “GBP”
Premium Amount Mandatory   The premium amount, in the premium currency, positive with direction defined by Pay/Receive
Premium Date Mandatory   The premium date, such as “2017-06-01”, see accepted formats
Premium Date Convention Optional   The premium business day convention, such as “Following” or “ModifiedFollowing”
Premium Date Calendar Optional   The premium holiday calendar to use, such as “GBLO”

Valid combinations of conditional fields are as follows (other combinations are not allowed):

  • “Start Date” and “End Date”
  • “Start Date” and “Tenor”
  • “Trade Date”, “Period To Start” and “Tenor”

The columns marked with Underlying of “Y” represent the underlying Swap, and have the same CSV columns.

Swaption by full details

To represent an Swaption by full details, replace the columns marked Underlying of “Y” with the full details columns from the Swap CSV format.