template Instrument

This template models a Barrier Reverse Convertible (BRC) instrument. It can be seen as a long fixed coupon bond and a short Down-And-In put option.

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.
referenceAssetId Text The reference asset ID. For example, in case of an option on AAPL this should be a valid reference to the AAPL fixings to be used for the payoff calculation.
strike Decimal The strike price of the option.
barrier Decimal The barrier level of the option.
barrierStartDate Date The start date for barrier observations.
expiryDate Date The expiry date of the instrument.
couponRate Decimal The fixed coupon rate, per annum. For example, in case of a "3.5% p.a coupon" this should be 0.035.
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 product. For example, if the product pays in USD this should be a USD cash instrument.
notional Decimal The notional of the product. This is the face value corresponding to one unit of the product. For example, if one product 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.
prevEvents [EventData] A list of previous events that have been lifecycled on this instrument so far.

Data Types

type T

= Instrument

Type synonym for Instrument.