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Companion User Guide

This document provides guidance to a user of the ACTUS demonstrations:

Software demonstrations should be self-explanatory and self-documenting but missing context, and “non-obvious” but required user actions can make exploration of the demo capabilities difficult and frustrating. This “companion” user guide aims to help the user through these obstacles. The demonstration software and in-demo documentation should and will eventually be updated to remove these problems. This user guide provides an immediate fix and documents the issues which should be addressed in improving the demos.

Sample ACTUS Contract Cashflows Demo: A companion user guide​

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This demo is started by pointing a browser at https://demo.actusfrf.org.

The purpose of this demonstration is to show the actual cashflows generated by ACTUS for different sample ACTUS contracts. The demonstration includes preloaded sample contracts which the user can call up, and then have ACTUS simulate. The user can edit the terms of the sample contracts and have the modified contracts simulated. All cashflows are illustrated with a plot showing the direction, type, and timing of payments. A list of the series of generated cash flow events is also displayed underneath the graphical plot in the output display for each contract simulation.

Steps in working this demo:​

  1. Start the Demo:

  2. Select a Contract Type:

    • Click on the contract type name (e.g., ANN, PAM, etc.) for which you would like to run and display the results of ACTUS contract simulations.
    • This will display:
      • A title bar labeled “DEMO CASE”
      • A short description of the selected contract type
      • Input areas for mandatory and optional terms of the contract

  3. Choose a Sample Contract:

    • Click on the “DEMO CASE” title bar.
    • This will trigger a display of available preloaded sample contracts, each with its case name and a short text description.

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Note: This step will only work for contract types in the set: {ANN, LAX, FXOUT, LAM, NAM, SWPPV, PAM, STK, SWAPS}. If the contract type is in the set: {CLM, CAPFL, CSH, COM, UMP}, clicking the “DEMO CASE” title bar will only add white space but show no new content.

  1. View and Edit Contract Terms:

    • Select a sample contract to display its term values.
    • Terms and sample values are described in the ACTUS data dictionary at https://www.actusfrf.org/dictionary.
    • Fields listed as mandatory are required for all contract types, and the Applicability matrix in the data dictionary specifies required fields for the particular contract type.
    • Expand each optional term category on the right side of the display to see all term values.

  2. Edit Contract Terms:

    • Edit any of the displayed contract terms to change the contract for simulation.
    • If invalid term values are inserted, an error will occur during simulation. Permitted values for each term are listed in the ACTUS data dictionary.
    • Dates must be in ISO format yyyy-mm-ddThh:mm:ss, and periods follow ISO conventions (e.g., P1YL0 for annual payment, P1ML0 for monthly payment, P3ML0 for quarterly payment).

  3. Simulate the Contract:

    • Scroll to the bottom and click the ‘SEND’ button to send the contract for simulation.
    • The display will show:
      • A graphical plot of the cash flow events (x-axis: payment amount, y-axis: time, principal and interest flows in red and green respectively, arrows indicating payment direction).
      • A tabular display listing the attribute values for each cashflow event.

  4. Return to Start:

    • Click the ACTUS logo in the top left (overlaid with a grid of squares) to return to the opening display with the list of available contract types.

Improvements which should be made to the current demo​

To improve user-friendliness, the following changes should be made:

  • Update the title block text to say “Click here to select from available sample contracts” instead of “DEMO Cases.”
  • For contract types {CLM, CAPFL, CSH, COM, UMP} with no preloaded sample contracts, we should:
    • Display the message “No sample contract is available for this contract type” when clicking the “DEMO CASE” title bar.
    • Remove these contract types from the previous display list.
    • Provide sample contracts for these types with simple market scenarios for simulation.

Detailed Guide with Examples​

Example 1: Annuity (ANN) - Case 101​

Description​

Principal payment fully at IED with periodic repayments of principal and interest until MD. If variable rate, the total amount for interest and principal is recalculated to mature fully at MD.

Configuration Details:​

  • Contract Type: ANN
  • Contract Role: RPA
  • Contract Identifier: 101
  • Nominal Interest Rate: 0.05
  • Day Count Convention: 30E/360
  • Currency: USD
  • Initial Exchange Date: 2015-01-02
  • Notional Principal: 1000

Graphical Representation of Cash Flows:​

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Event List:​

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  • Principal amount decreases over time due to periodic principal repayments.
  • Periodic interest payments are made annually, remaining consistent due to the fixed rate.
  • Principal redemption payments reduce the outstanding principal amount gradually.
  • Interest accrual periods culminate in interest payments.

Summary:​

Periodic principal redemption and interest payments based on a fixed nominal rate, with the final principal redemption completing the contract at maturity.

Example 2: Short Position in a 10-Year Annuity (ANN) - Case 103​

Contract Details:​

  • Contract Type: ANN
  • Contract Role: RPL
  • Contract Identifier: 103
  • Nominal Interest Rate: 0.05
  • Day Count Convention: 30E/360
  • Currency: USD
  • Initial Exchange Date: 2015-01-02
  • Notional Principal: 1000

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Graphical Representation of Cash Flows:​

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Event List:​

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  • Periodic principal repayments reduce the principal over the term.
  • Periodic interest payments vary as the principal reduces.
  • Interest accrual periods lead to interest payments.

Key Events:​

  • Initial Exchange Date (IED): Loan disbursement of 1000 USD.
  • Principal Repayment (PR): Regular repayments reduce the outstanding principal.
  • Interest Payment (IP): Reflects the fixed interest rate applied to the outstanding principal.

Analysis:​

This example helps understand the obligations and dynamics of a short position in an annuity contract with fixed annual payments, providing clear insights into contract performance over time.

Example 3: Principal at Maturity (PAM) - Case 112​

Contract Details:​

  • Contract Type: PAM
  • Contract Role: RPA
  • Contract Identifier: 112
  • Nominal Interest Rate: 0.02
  • Day Count Convention: 30E/360
  • Currency: USD
  • Initial Exchange Date: 2015-01-02
  • Maturity Date: 2025-01-02
  • Notional Principal: 1000

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Cashflow Plot Analysis:​

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  • Principal remains constant until repaid in full at maturity.
  • Periodic interest payments are made annually.
  • Rate resets adjust interest rates bi-annually.

Event List:​

  • Detailed breakdown of each financial transaction over the loan term.

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Overall Interpretation:​

This example outlines a PAM contract with bi-annual rate adjustments, illustrating financial obligations and contract performance over time.