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), Mark-to-market swaps (Xccy with reseting notional),Forward Start Swaps (IMM), Forward Start Swaps (Absolute), Forward Start Swaps (Relative), IMM Swaps, CMS Swaps, Inflation Swaps, Swaptions, Caps, FX Spots, FX Swaps, NDFs, Outright FX Forwards, FX Options, Equity Variance Swaps, Equity Total Return Swaps, Equity Contract for Difference, Equity Options, Bond Forwards and Bond 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 OIS SOFR Pay Ann 1.5%
USD200m 10Y rec USD200m 10Y OIS SOFR Rec 2.3478% When the rate is not specified, it is set to the par swap rate.
300m USOSFR10 pay 0.02 USD300m 5Y OIS SOFR Pay 2% A more exacting specification of the trade using a specific BBG ticker. The rate may be an absolute number.
USD200m 10Y mine USD200m 10Y OIS SOFR Pay 2.3478% ‘mine’ means pay fixed, an alternative to ‘pay’.
USD200m 10Y yours USD200m 10Y OIS SOFR 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
500m USSW10 pay 3% USD100m 10y LIBOR3M pay 3% The old LIBOR BBG tickers are still available, and can be used to create legacy trades if needed.

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 OIS SOFR 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 OIS SOFR 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 OIS SOFR 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 OIS SOFR Pay 1.5% 1Y10Y denotes a 10Y swap starting in 1Y.
$100m 2m10y rec 0.023 USD100m 2M10Y OIS SOFR 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 OIS SOFR Pay 1.5% IMM swaps are forward starting, on the next IMM date.
$100m IMM 10y USD100m 2M10Y IMM OIS SOFR 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
100m USSFVF10 pay USD100m 10Y FF v SOFR-4.6bp Using the specific bbg ticker we can choose the specific basis swap we need.
AUD200m 3v1 10y rec AUD200m 10Y BBR 1v3 An AUD basis example.
AUD200m 6v3 10y pay AUD200m 10Y BBR 3v6 An AUD basis example.
250m USBA10 rec USD250m 10Y LIBOR 1v3 Legacy LIBOR basis swaps can still be accessed by their specific BBG ticker.

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 SOFR Pay 1.5% Simple example of OIS.
USD1b 7m ois rec USD1b 7M OIS SOFR Rec 1.2239% If the rate is missing, system assumes a rate at the current OIS swap rate.
200m USOSFR10 yours USD200m 10Y OIS SOFR Rec 1.2567% A more exacting specification of a trade using a specific BBG ticker.
AUD300m 1y OIS rec AUD300m 1Y OIS SOFR 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.

Mark-to-market Swap

A cross currency swap in which the notional resets with the fx rate. Usually, the USD leg resets, in quick trade we will enter the notional of the non-resetting leg.

A common patterns is;

  1. <CCYNTNL><MATURITY> <PAY|REC|YOURS|MINE> <PRICE> <mtm>.
Quick Trade Input Clarus Description Notes
JPY1b mtm 10Y pay +10bp JPY1b 10Y Pay +10bp Mtm Enter only the notional of the non-resetting leg (usually the non-USD leg).

FRA

Two common patterns are;

  1. <CCYNTNL> <MATURITY (NxM)> <PAY|REC> <RATE>,
  2. <NTNL> <BBGTICKER> <PAY|REC> <RATE>.
Quick Trade Input Clarus Description Notes
EUR100m 0x6 pay 1.5% EUR100m 0x6 EURIBOR6M Pay 1.5%
100m EUFR0CF pay 1.52% EUR100m 3×6 EURIBOR3M Pay 1.52% BBG ticker can be used to define the FRA.
EUR100m 1×7 rec 0.015 EUR100m 1×7 EURIBOR6M Rec 1.5% The rate can be an absolute number.
EUR200m 3×6 pay EUR200m 3×6 EURIBOR1M Pay 1.2469% If the rate is missing, system assumes a rate at the current forward rate.
€100m 6×9 EUR100m 6×9 EURIBOR3M 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.
EUR 1b 9X12 rec EUR1b 9×12 EURIBOR3M 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
sell opt usd 25m 20y30y 1.0% sell opt usd 25m 20y30y 1.0% Leaving out pay or rec makes the trade a straddle
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 Swaps

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.

FX Forward Outright

A common pattern is very similar to FX Swaps, except one must explicitly state that it is an outright forward contract. This is can be done by using either of the keywords fwd, outright or forward;

<BUY|SELL> <NTNL> <CCYPAIR> <EXCHANGERATE> <MATURITY> <"fwd"|"forward"|"outright">.

Quick Trade Input Clarus Description Notes
buy 100m USDJPY 113 3m fwd Buy 100m USDJPY 113 3M fwd
buy 100m USDJPY 3m outright Buy 100m USDJPY 113.5286 3M fwd If the exchange rate is not set, the forward rate is assumed.
sell 1b jpyusd 2m 113 forward Buy 9m USDJPY 113 2M fwd 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 fwd Buy 0.9m USDJPY 113.64836 2M fwd It is possible to only specify non-USD currency.
It is best practice to include the full ccypair explicitly.

Non-deliverable Forward

The syntax for a non-deliverable forward has the same structure as an outright FX Forward except one must use the keyword "ndf";

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

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

Equity Variance Swap

A common pattern is;

<VEGA NTNL> <EQUITY|EQUITYINDEX> <MATURITY> <PAY|REC> <VARIANCE STRIKE>.

Quick Trade Input Clarus Description Notes
100k sp500 3m pay 3% 100K SP500 3M vswap Payer 3%

Equity Total Return Swap

A common pattern is;

<QUANTITY> <MATURITY> <EQUITY|EQUITYINDEX> <trs> <Pay|Rec> <RATE>.

Quick Trade Input Clarus Description Notes
10000 5y sp500 trs pay 10bp 10000 SP500 trs Pay +10bp
10000 5y sp500 trs pay 3% 10000 SP500 trs Pay 3% The coupon on the other leg can be a fixed rate.

Equity Contract for Difference

A common pattern is;

<BUY|SELL> <QUANTITY> <EQUITY|EQUITYINDEX> <cfd>.

Quick Trade Input Clarus Description Notes
buy 1000 amazon cfd Buy 1000 Amazon cfd

Equity Option

A common pattern is;

<BUY|SELL> <QUANTITY> <EQUITY|EQUITYINDEX> <MATURITY> <CALL|PUT> <STRIKE>.

Quick Trade Input Clarus Description Notes
buy 1000 sp500 1m call 2864 Buy 1000 1M Call SP500 2864

Bond Forward

A common pattern is;

<BUY|SELL> <NTNL> <MATURITY> <ISIN> <STRIKE>.

Quick Trade Input Clarus Description Notes
buy 100m 3M FR0013480613 97 Buy 100m 3M FR0013480613 97

Bond Option

A common pattern is;

<BUY|SELL> <NTNL> <MATURITY> <ISIN> <CALL|PUT> <STRIKE>.

Quick Trade Input Clarus Description Notes
buy 100m 3M FR0013480613 call 97 Buy 100m 3M FR0013480613 Call 97

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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