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A1 MS > KYS > Flashcards

KYS Flashcards

1
Q

Overnight Rate

A

The interest rate at which a depository institution (typically central banks) lends or borrows funds with another depository institution in the overnight market

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2
Q

Rating/Credit Rating

A

The capacity of an institution to pay for its debt and the risk attached to investing in this debt

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3
Q

Static Data

A

Data for which the values do not change over time
- Counterparties
- Day Count Conventions
- Currency
- Indices
- Bonds
- Equities
- Portfolio Hierarchy
- Baskets

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4
Q

Bond

A
  • Fixed-Income/Debt Instrument
  • Investor buys a bond (essentially lending money to the issuer for a predetermined period of time)
  • During period, issuer agrees to make periodic interest payments (coupon payments) to the bondholder and repay the principal amount at maturity
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5
Q

Equity Index

A
  • A measure that tracks the performance of a specific group of stocks in a financial market
  • Typically calculated using a weighted average of the prices of the constituent stocks
    eg S&P 500; Dow Jones Industrial Average (DJIA)
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6
Q

Future

A

Financial contract that obliges buyer to buy an asset such as physical commodity or financial instrument on agreed upon future date for an agreed price

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7
Q

Future Cash

A

Flows that are fixed but have not been paid

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8
Q

PnL

A

Cash + Market value

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9
Q

Economic PnL

A

Sum of Accounting PnL; Financing and PVE

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10
Q

Accounting PnL

A

All proceeds received MINUS All proceeds paid (Sum of past cash, future cash and market value)

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11
Q

Interest Rate Swap

A
  • Contract to trade interest rate payments for a set period (NOT the principal amount)
  • Traded OTC - negotiated privately between two counterparties
  • Used manage risk associated with fluctuating interest rates
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12
Q

Market Value

A
  • Sum of the discounted future flows for BOTH legs
  • Discounted future cash flows
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13
Q

PVE

A

Effect of bringing the market value from value date to the evaluation date

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14
Q

How To Value a Bond

A

Calculate Present Value of Coupon Payments; Calculate Present Value of Principal Repayment; Sum Present Values

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15
Q

Define a Swap Trade (Mx)

A

1.Select a Swap Generator
2.Define nominal
3.Define start period and maturity date
4.Define the fixed rate to apply

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16
Q

Non-Deliverable Swap

A
  • Financial Instrument used to to replicate cash flows of an IRS or Cross-Currency swap when one of the currencies is subject to exchange restrictions
  • Flows calculated according to non-deliverable currency then converted into deliverable one using FX forward rates
17
Q

P&L Details (Mx)

A

Menu – Processing/Trade Query – View/P&L Figure

18
Q

DV01

A

Represents the change in the price of a bond or a bond portfolio for a one basis point (0.01%) change in yield

19
Q

Fx Delta

A

Sensitivity of the value of a derivative contract or a portfolio to changes in the underlying foreign exchange spot rate

20
Q

IRS Valuation (Mx)

A

End User
Processing
Trades
Trade Query
View
P&L

21
Q

DELTA

A

Price Risk

22
Q

THETA

A

Duration Risk

23
Q

GAMMA

A

Delta Stability

24
Q

VEGA

A

Volatility Risk

25
Q

RHO

A

Discount Risk

26
Q

Generator (Mx)

A

Templates where it’s possible to define a common characteristics of a product in order to make registration easier

27
Q

Package Number

A

Group of Contracts/Group of Trades

28
Q

Contract Number

A
  • ID used for each contract
  • Changes change the version number
29
Q

Global ID

A
  • ID for migrated trades (One system to another)
  • No Global ID = Created in Murex
30
Q

Environments

A

Pre-EOD - Daily
Post-EOD - Weekly
Production - Main

31
Q

Daily Blotter

A

Allows you to see trades that have been inserted that day

32
Q

Simulation Module

A

A simulation is a process that makes possible the retrieval of PnL, Risk (Greeks), PnL Variations in different aggregation levels

33
Q

Pricing Sequence

A

Contains all rules and logic that impact input parameters of the pricing model. Might run multiple times

34
Q

Closing Sequence

A

Contains all other rules and logic such as portfolio allocation, typology assisgnment, layout management (layout assignments, dynamic layout

35
Q

Booking Sequence

A

Related to the processing center. Performed when deal is saved

36
Q

Implementation of a Pre-Trade Sequence

A
  • Flow Sheet creation
    • Tasks Assignment
    • Formula Creation
    • Rules Assignment
37
Q

TASKS ASSIGNMENT

A
  • Used to determine which sequence applies in each case
  • Initialization: Very specific type of task launched when the trade is reopened
  • Pricing: The main task called in the solver iterations and in the pricing model
  • Closing: Launched after the pricing sequence and therefore should not contain any pricing tasks

A1 MS (3 decks)

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