Clarus Quick Trade Format

The Clarus Quick Trade format enables a user to specify a wide variety of OTC products in a short, natural, free-form style. Products supported include FRAs, Vanilla Swaps, Basis Swaps, OIS Swaps, Cross-Currency Swaps (Basis, Fixed-Float, Fixed-Fixed), Forward Start Swaps (IMM), Forward Start Swaps (Absolute), Forward Start Swaps (Relative), IMM Swaps, CMS Swaps, Inflation Swaps, Swaptions, Caps, FX Spots, NDFs, Outright FX Forwards, and FX Options. The typical use case is to quickly and conveniently specify a what-if trades in a risk analysis.

As the format is particularly flexible, we will explain it mainly with examples. In many of the examples we refer to BBGTICKER, the name of a Bloomberg Ticker (OpenFigi ticker). A full list is of tickers available can be found at the API function Util/Tickers.

Vanilla Swap

Two common patterns are;

  1. <CCYNTNL> <MATURITY> <"Ann"> <PAY|REC|MINE|YOURS> <RATE>,
  2. <NTNL> <BBGTICKER> <PAY|REC|MINE|YOURS> <RATE>.
Quick Trade Input Clarus Description Notes
USD200m 10Y pay 1.5% USD200m 10Y LIBOR3M Pay 1.5%
USD200m 10Y ann pay 1.5% USD200m 10Y LIBOR3M Pay 1.5% Ann USD swaps traded in London with Annual fixed rate.
USD200m 10Y rec USD200m 10Y LIBOR3M Rec 2.3478% When the rate is not specified, it is set to the par swap rate.
300m USSW5 pay 0.02 USD300m 5Y LIBOR3M Pay 2% A more exacting specification of the trade using a specific BBG ticker.
The rate may be an absolute number.
200m USSA10YA rec USD100m 10Y LIBOR1M Pay 2.2615% Ann A more exacting specification of the trade using a specific BBG ticker.
USD100m 7y v1 ann rec USD100m 7Y LIBOR1M Rec 2.0893% Ann LIBOR1M v Annual money.
USD100m 7y v6 pay USD100m 7Y LIBOR6M Pay 2.283% Ann
USD200m 10Y mine USD200m 10Y LIBOR3M Pay 2.3478% ‘mine’ means pay fixed, an alternative to ‘pay’.
USD200m 10Y yours USD200m 10Y LIBOR3M Rec 2.3478% ‘yours’ means receive fixed, an alternative to ‘rec’.
AUD100m 3y rec AUD100m 3Y BBR3M Rec 2.118% AUD swap below 4Y is on 3M index.
AUD150m 4y pay AUD150m 4Y BBR6M Pay 2.4047% AUD swap 4Y or above is on 6M index.
SGD300m 10y rec SGD300M 10y SOR6M Rec 2.2704% SGD swap
300m SDSW10 rec SGD300M 10y SOR6M Rec 2.2704% SGD swap using BBG ticker

Forward Start Swap (IMM)

A common pattern is;

<CCYNTNL> <MONTHCODEYEAR> <MATURITY> <PAY|REC|YOURS|MINE> <RATE>.
Month Codes are the common future contract month codes; F=Jan, G=Feb, H=Mar, J=Apr, K=May, M=Jun, N=Jul, Q=Aug, U=Sep, Oct=V, X=Nov, Z=Dec. The year is precisely 2 digits. An example of a MONTHCODEYEAR representing June 2021, would be M21.

Quick Trade Input Clarus Description Notes
USD200m z23 10Y pay 1.5% USD200m Z23 10Y LIBOR3M Pay 1.5% Z23 10Y denotes a 10Y swap starting in December 2023 (3rd Wednesday).
$100m h21 10y imm rec 0.023 USD100m H21 10Y IMM LIBOR3M Rec 2.3% H21 10Y denotes a 10Y swap starting in March 2021 and rolling on
the IMM dates (every 3rd Wednesday).
AUD100m m21 10y imm rec 0.023 AUD100m M21 10Y IMM BBR6M Rec 2.3% M21 10Y denotes a 10Y swap starting in June 2021 and rolling on
the AUD IMM dates (every 2nd Friday).
AUD100m u21 10y imm rec 0.023 AUD100m U21 10Y IMMUSD BBR6M Rec 2.3% U21 10Y denotes a 10Y swap starting in September 2021 and
rolling on the IMMUSD dates (every 3rd Wednesday).
This is an unusual case, but it is possible to pick the type
of IMM rather than using the common convention for the currency.

Forward Start Swap (Absolute)

A common pattern is;

<CCYNTNL> <MATURITY> <DATE> <PAY|REC|YOURS|MINE> <RATE>.
The DATE field expects ddMMMyy format, for example, 12Feb23.

Quick Trade Input Clarus Description Notes
USD200m 10Y 12Feb23 pay 1.5% USD200m 10Y 12Feb23 LIBOR3M Pay 1.5% 10Y 12Feb23 denotes a 10Y swap starting on 12th February 2023.

Forward Start Swap (Relative)

A common pattern is;

<CCYNTNL> <MATURITYMATURITY> <PAY|REC|YOURS|MINE> <RATE>.

Quick Trade Input Clarus Description Notes
USD200m 1y10Y pay 1.5% USD200m 1Y10Y LIBOR3M Pay 1.5% 1Y10Y denotes a 10Y swap starting in 1Y.
$100m 2m10y rec 0.023 USD100m 2M10Y LIBOR3M Rec 2.3% Non-maturity fields have the same flexibility as spot starting swaps.

IMM Swap

Two common patterns are;

  1. <CCYNTNL> <MATURITY> <"IMM"> <PAY|REC|YOURS|MINE> <RATE>,
  2. <NTNL> <BBGTICKER> <"IMM"> <PAY|REC|YOURS|MINE> <RATE>.
Quick Trade Input Clarus Description Notes
USD200m 10Y imm pay 1.5% USD200m 2M10Y IMM LIBOR3M Pay 1.5% IMM swaps are forward starting, on the next IMM date.
$100m IMM 10y USD100m 2M10Y IMM LIBOR3M Pay 2.3925% Fields have similar behaviour to regular spot starting swaps.

Basis Swap

Two common patterns are;

  1. <CCYNTNL> <MATURITY> <BASIS XvY> <PAY|REC> <RATE>,
  2. <NTNL> <BBGTICKER> <PAY/REC> <RATE>.
Quick Trade Input Clarus Description Notes
USD200m 10Y 1v3 pay 1.5% USD200m 10Y LIBOR 1v3 Pay +150bp Careful with the rate, it is relative on a basis swap!
USD200m 10Y 3v6 rec +22bp USD200m 10Y LIBOR 3v6 Rec +22bp Rate can be naturally expressed as a spread in basis points.
USD100m 7y 3v12 rec USD100m 7Y LIBOR 3v12
USD200m 5y ffv3 USD200m 5Y FF v LIBOR3M Example of a Fed Funds Swap.
USD100m 9y ff USD100m 9Y FF v LIBOR3M Even shorter description of a Fed Funds Swap.
250m USBA10 rec USD250m 10Y LIBOR 1v3 A more exacting specification of a trade using a specific BBG ticker.
AUD200m 3v1 10y rec AUD200m 10Y BBR 1v3 An AUD basis example.
AUD200m 6v3 10y pay AUD200m 10Y BBR 3v6 An AUD basis example.

OIS Swap

Two common patterns are;

  1. <CCYNTNL> <MATURITY> <"OIS"> <PAY|REC|YOURS|MINE> <RATE>,
  2. <NTNL> <BBGTICKER> <PAY|REC|YOURS|MINE> <RATE>.
Quick Trade Input Clarus Description Notes
USD200m 2Y OIS pay 1.5% USD200m 2Y OIS Pay 1.5% Simple example of OIS.
USD1b 7m ois rec USD1b 7M OIS Rec 1.2239% If the rate is missing, system assumes a rate at the current OIS swap rate.
200m USSOI yours USD200m 9M OIS Rec 1.2567% A more exacting specification of a trade using a specific BBG ticker.
AUD300m 1y OIS rec AUD300m 1Y OIS Rec 1.5681% An AUD AONIA OIS swap.

Cross-Currency Swap

A common patterns is;

  1. <NTNL1> <CCYPAIR> <MATURITY> <PAY|REC|YOURS|MINE>.
Quick Trade Input Clarus Description Notes
100m USDJPY 10Y basis 100m USDJPY 10Y Basis Simple example of xccy basis swap. The notional is ccy1 in the pair (USD in this example).
100m USDGBP 10Y fixfix 100m USDGBP 10Y FixFix A fixed-fixed cross-currency swap.
100m USDEUR 10Y fixflo 100m USDEUR 10Y FixFlo A fixed-float cross-currency swap.
100m USDJPY 10Y flofix 100m USDJPY 10Y FloFix A float-fixed cross-currency swap.

FRA

Two common patterns are;

  1. <CCYNTNL> <MATURITY (NxM)> <PAY|REC> <RATE>,
  2. <NTNL> <BBGTICKER> <PAY|REC> <RATE>.
Quick Trade Input Clarus Description Notes
USD100m 0x3 pay 1.5% USD100m 0x3 LIBOR3M Pay 1.5%
USD100m 1×7 rec 0.015 USD100m 1×7 LIBOR6M Rec 1.5% The rate can be an absolute number.
USD200m 2×3 pay USD200m 2×3 LIBOR1M Pay 1.2469% If the rate is missing, system assumes a rate at the current forward rate.
$100m 6×9 USD100m 6×9 LIBOR3M Pay 1.5159% USD, GBP, EUR and JPY can be shortened to the respective currency symbols.
We discourage this, some text editors do not handle such symbols well.
USD 1b 9X12 rec USD1b 9×12 LIBOR3M Rec 1.6074% The currency and the notional can be separated.
The suffix ‘b’ denotes one billion.
Case insensitive to the maturity text.
AUD200M 1×4 pay AUD200m 1×4 BBR3M Pay 1.7229% An example of AUD FRA on BBR3M.
AUD150m 1×7 rec AUD150m 1×7 BBR6M Rec 1.8574% An example of AUD FRA on BBR6M.

Inflation Swap

A common pattern is;

<CCYNTNL> <MATURITY> <CPI|RPI|FullIndexName> <PAY|REC|YOURS|MINE> <RATE>.

Quick Trade Input Clarus Description Notes
USD200m 10Y cpi pay 1.5% USD200m 10Y USA-CPI-U Pay 1.5% The currency and either ‘CPI’ or ‘RPI’ is often enough.
USD75m 7y USA-CPI-U rec USD75m 7Y USA-CPI-U Rec 1.9615% One can specify the inflation index explicitly.
GBP100m 5y rpi rec GBP100m 5Y UK-RPI Rec 3.4357% UK inflation swap is often RPI index.
GBP200m 3y UK-RPI pay 3% GBP200m 3Y UK-RPI Pay 3% Explicit index for UK is UK-RPI.
EUR75m 10y cpi rec EUR75m 10Y EUR-EXT-CPI Rec 1.39% When EUR and CPI, index chosen is EUR-EXT-CPI not FRC-EXT-CPI
EUR75m 10y FRC-EXT-CPI Rec EUR75m 10Y FRC-EXT-CPI Rec 1.4% Ambiguity with EUR and CPI, the French index must be specified explicitly.
(Bug at the moment, EUR-EXT-CPI is always chosen).

CMS Swap

CMS Swap quick entry is naturally similar to a regular swap, except the use of a keyword ‘CMS’.

A common pattern is;
<CCYNTNL> <MATURITY> <CMS> <PAY|REC|YOURS|MINE> <SPREAD>.

Quick Trade Input Clarus Description Notes
USD200m 10Y cms30 pay 20bp USD200m 10Y CMS30 Pay 20bp The swap is 10Y, the index on the non-funding leg is 30Y.

Swaption

Swaption quick entry is naturally quite similar to forward start swap quick entry, as forward starts are the underlying of the option. Two common patterns are;

  1. <BUY|SELL|LONG|SHORT> <"opt"> <CCYNTNL> <MATURITYMATURITY> <PAY|REC|YOURS|MINE> <RATE> ,
  2. <BUY|SELL|LONG|SHORT> <NTNL> <BBGTICKER> <PAY|REC|YOURS|MINE> <RATE>.

Some finesse is possible when defining the strike, +100bp will define the strike as 100bp over the at-the-money level, whilst -100bp will define the strike as 100bp below the at-the-money level. This can be useful when checking values of key strikes on the vol surface.

If pay or receive flag is not set then the swaption is a straddle.

Quick Trade Input Clarus Description Notes
USD200m 10Y cpi pay 1.5% USD200m 10Y USA-CPI-U Pay 1.5% The currency and either ‘CPI’ or ‘RPI’ is often enough.
Quick Trade Input Clarus Description Notes
buy opt USD100m 1Y10Y pay 3% BUY OPT USD100m 1Y10Y LIBOR3M Pay 3% Buy a one year option on a ten year swap, struck at 3%.
buy USSN1F7 100m rec 3% BUY OPT USD100m 18M7Y LIBOR3M Rec 3% Define option characteristic using the ATM bbg ticker.
buy opt USD150m 1Y5Y pay -100bp BUY OPT USD150m 1Y5Y LIBOR3M Pay 0.9802% Strike defined as 100bp below ATM level.
short opt USD120m 3M5Y pay +100 SELL OPT USD120m 3M5Y LIBOR3M Pay 2.8619% Strike defined as 100bp above ATM level,
even if the units are not set.
sell opt USD120m 3M5Y pay SELL OPT USD120m 3M5Y LIBOR3M Pay 1.8619% No strike set explicitly, so ATM level assumed.

Caps

A common pattern is;
<CCYNTNL> <MATURITY> <Cap|Floor|Straddle> <STRIKE>.

Quick Trade Input Clarus Description Notes
buy USD100m 10y cap 3% Buy USD100m 10Y Cap 3% 10Y cap at 3%.
sell USD100m 7y floor 0% Sell USD100m 7Y Floor 0% Sell a 10Y floor at 0%.

FX Spot

A common pattern is;

<BUY|SELL> <NTNL> <CCYPAIR> <EXCHANGERATE> .

Quick Trade Input Clarus Description Notes
buy 100m USDJPY 113 Buy 100m USDJPY 113
buy 100m USDJPY Buy 100m USDJPY 113.88204 If the exchange rate is not set, the spot rate is assumed.
sell 1b jpyusd 113 Buy 9m USDJPY 113 An indirect ccypair may be used to specify an amount.
The exchange rate is always direct.
The Clarus description is always expressed with direct ccypair.

FX Forward Outright

A common pattern is;

<BUY|SELL> <NTNL> <CCYPAIR> <EXCHANGERATE> <MATURITY> .

Quick Trade Input Clarus Description Notes
buy 100m USDJPY 113 3m Buy 100m USDJPY 113 3M
buy 100m USDJPY 3m Buy 100m USDJPY 113.5286 3M If the exchange rate is not set, the forward rate is assumed.
sell 1b jpyusd 2m 113 Buy 9m USDJPY 113 2M An indirect ccypair may be used to specify an amount.
The exchange rate is always direct.
The Clarus description is always expressed with direct ccypair.
sell 100m jpy 2m Buy 0.9m USDJPY 113.64836 2M It is possible to only specify non-USD currency.
It is best practice to include the full ccypair explicitly.

Non-deliverable Forward

A common pattern is;

<BUY|SELL> <NTNL> <CCYPAIR> <EXCHANGERATE> <MATURITY> .

Quick Trade Input Clarus Description Notes
buy 200m BRLUSD 3.3 3m Sell 61m USDBRL 3.3 3M ndf Clarus Description always shows direct ccypair.
buy 100m BRLUSD 2m Sell 31m USDBRL 3.216325 2M ndf If the exchange rate is not set, the forward rate is assumed.
sell 100m USDBRL 1m Sell 100m USDBRL 3.216325 1M ndf

FX Option

A common pattern is;

<BUY|SELL> <MATURITY> <NTNL> <CALL|PUT> <CCYPAIR> <EXCHANGERATE> .

Quick Trade Input Clarus Description Notes
buy 3m 100m call USDJPY 108 Buy 3M 100m Call USDJPY 108
sell 1m 100m put USDJPY Sell 1M 100m Put USDJPY 108.13 If the exchange rate is not set, the forward rate is assumed.

In many cases above, we refer to the ‘BBG Ticker’, strictly speaking we mean an OpenFigi Ticker. OpenFigi was based on Bloombergs Open Symbology project and launched in 2016, see here.

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