Set up a Multi-Maturity Interest Rate Series

Security Note: You need the Allow the user to edit interest rate series security right in the Marketing user group security rights group for this activity.

Activity Steps

1. Open the Interest Rate Editor.
2. Select the Interest Rate Series tab.
3. To create a multi-maturity interest rate series:
   1. Right-click in the Interest Rate Series field group and select New » Multi-Maturity Interest Rate Series from the menu.
   2. Update the Interest Rate Series name if required.
   3. Complete the following fields.
      • Source Market—Name of the source market supplying the interest rates.
      • Decimals—Number of decimal places used for the interest rates in the series.
      • Currency—Optional currency to which to limit the interest rate series.

      Note: The Entry Frequency is Day for multi-maturity interest rate series.

   4. Enter the Series Calendars to define the business days. Select from the calendars defined in the Calendar Editor.
   5. Check Mandatory Entries if required. If entries are mandatory and an interest rate has not been entered for a particular date, an error displays when the interest rate is used, except if the date falls on a non-working day defined in one of the selected Series Calendars.
   6. Enter a Description if required.
4. To enter interest rates for the interest rate series:
   1. Enter the following search criteria in the Interest Rates field group.
      • Start Date
      • End Date
   2. Click Search or press F3.

      For a multi-maturity interest rate series, a column for each maturity period displays. The following maturity periods are predefined:

      • Overnight
      • 1 Week
      • 1 Month
      • 2 Months
      • 3 Months
      • 6 Months
      • 12 Months
   3. Enter the Interest Rate for each individual Effective Start date and maturity period as required.

      Note: Negative rates can be entered. Press Ctrl+V to paste data copied from another application, such as a spreadsheet.

5. Click Save.