Course Description

This course introduces booking Portfolio Swaps in Calypso, whether simple or complex. The
learners will gain experience in creating baskets and grouping securities.

This course also covers contract setups, capturing portfolio swaps, viewing position valuation
reports, lifecycle events such as rollover, and changes in economic terms within the life of the

The course is aimed at businesses or users who need to set up and use Calypso for trading
and does not cover the details of pricing models and analytics.

By the end of the course, users will be able to:

  • Describe Portfolio Swap business terminology
  • Identify the reasons to trade Portfolio Swaps
  • Explain Portfolio Swap in Calypso
  • Explain Portfolio Swap with an example
  • List the difference between Portfolio Swaps and Equity Linked Swaps
  • State some of the key concepts and terms to note

Course curriculum

  • Portfolio Swap

    • Introduction to Portfolio Swap

  • Contract Specification

    • Portfolio Swap Contract

    • PFS Contract Specification

    • General Terms

    • Equity Leg Details

    • Funding Leg Details

    • Country Grid

    • LifeCycle Action

  • Capturing Portfolio Swap Trades

    • PFS Trade Booking

  • Accrual Calculation and Basic Interest using Portfolio Valuation Report

    • Portfolio Valuation and Calculation of Accrual and Basic Interest

  • Corporate Action - Price Change and Funding

    • Corporate Actions

  • Test Your Knowledge

    • Assessment