template Instrument

This template models an inflation linked bond. It pays an inflation adjusted coupon at the end of every coupon period. The coupon is based on a fixed rate, which is applied to a principal that is adjusted according to an inflation index, for example the Consumer Price Index (CPI) in the U.S. For example: 0.5% p.a. coupon, CPI adjusted principal: At maturity, the greater of the adjusted principal and the original principal is redeemed. For clarity, this only applies to the redemption amount. The coupons are always calculated based on the adjusted principal.

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.
inflationIndexId Text The inflation index reference ID. For example, in case of "0.5% p.a. coupon, CPI adjusted principal" this should be a valid reference to the "CPI" index.
inflationIndexBaseValue Decimal The value of the inflation index on the first reference date of this bond (called "dated date" on US TIPS). This is used as the base value for the principal adjustment.
couponRate Decimal The fixed coupon rate, per annum. For example, in case of a "0.5% p.a. coupon, CPI adjusted principal" 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.