Entities trading swaps need two specific pieces of data, which can be populated using Create/Edit Entity (V17) or Add/Change Entity (prior to V17).
- Swap Accrual Method (1184): controls whether accruals are posted to Income/Expense or Unrealized ledger accounts (has no effect on cash or valuation)
- Primary Amortization/Accretion Rule (3197): must be straight line (
DEFAULTSL
), straight line actual (DEFAULTSLA
), or none (DEFAULTNONE
)- If it is set to anything else, a security-level amortization/accretion rule must be established specifying one of the three above
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