template Instrument

This template models a floating rate bond. It pays a floating coupon rate at the end of every coupon period. This consists of a reference rate (observed at the beginning of the coupon period) plus a coupon spread. For example, 3M Euribor + 0.5%.

Signatory: depository, issuer

Field Type Description
depository Party The depository of the instrument.
issuer Party The issuer of the instrument.
id Id An identifier of the instrument.
version Text The instrument’s version.
holdingStandard HoldingStandard The holding standard for holdings referencing this instrument.
description Text A description of the instrument.
floatingRate FloatingRate A description of the floating rate to be used. This supports both Libor and SOFR style reference rates (using a compounded index, e.g. the SOFR Index). FLOATING_RATE_BOND_TEMPLATE_UNTIL_REFRATE_END
couponSpread Decimal The floating rate coupon spread. For example, in case of "3M Euribor + 0.5%" this should be 0.005.
periodicSchedule PeriodicSchedule The schedule for the periodic coupon payments.
holidayCalendarIds [Text] The identifiers of the holiday calendars to be used for the coupon schedule.
calendarDataProvider Party The reference data provider to use for the holiday calendar.
dayCountConvention DayCountConventionEnum The day count convention used to calculate day count fractions. For example: Act360.
currency InstrumentKey The currency of the bond. For example, if the bond pays in USD this should be a USD cash instrument.
notional Decimal The notional of the bond. This is the face value corresponding to one unit of the bond instrument. For example, if one bond unit corresponds to 1000 USD, this should be 1000.0.
observers PartiesMap The observers of the instrument.
lastEventTimestamp Time (Market) time of the last recorded lifecycle event. If no event has occurred yet, the time of creation should be used.

Data Types

type T

= Instrument

Type synonym for Instrument.