18.5.1 Variable Rate Instruments: Caps and Floors

For all qualified Variable Rate Instruments, there must be at least one embedded rate option specified (for example cap or floor).

Table 18-4 FSI_D details of Caps and Floors Variable Rate Instruments

FSI_D Field	Description
RATE_INCR_CYCLE	The incremental period cap amount
RATE_DECR_CYCLE	Incremental period floor amount
RATE_CAP_LIFE	Life Cap Strike
RATE_FLOOR_LIFE	Life Floor Strike
FIRST_RESET_CAP	First Reset Cap (Mortgage Only)
FIRST_RESET_FLOOR	First Reset Floor (Mortgage Only)

In addition to specifying the cap and floors, users must also specify a pre-configured ALM volatility surface and risk-free interest rate curve both of the same effective date and currency.

Table 18-5 FSI_D details of ALM Volatility Surface and Risk-free Interest Rate Curve

FSI_D Field	Description
OPTION_RFR_IRC_CD	Risk-Free Interest Rate Curve
OPTION_VOL_IRC_CD	Volatility Surface
EMBEDDED_OPT_MV	Enable Embedded MV Evaluation