template Instrument

This template models a cash-settled credit default swap. In case of a credit default event it pays (1-recoveryRate), in exchange for a fix rate at the end of every payment period. For example: 2.5% fix vs (1-recoveryRate) if TSLA defaults on a bond payment

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.
defaultProbabilityReferenceId Text The reference ID of the default probability observable. For example, in case of protection against a "TSLA bond payment default" this should be a valid reference to the "TSLA default probability".
recoveryRateReferenceId Text The reference ID of the recovery rate observable. For example, in case of a "TSLA bond payment default with a 60% recovery rate" this should be a valid reference to the "TSLA bond recovery rate".
ownerReceivesFix Bool Indicate whether a holding owner of this instrument receives the fix or the default protection leg of the swap.
fixRate Decimal The interest rate of the fix leg. For example, in case of "2.5% fix" this should be 0.025.
periodicSchedule PeriodicSchedule The schedule for the periodic swap payments.
holidayCalendarIds [Text] The identifiers of the holiday calendars to be used for the swap payment 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 swap. For example, if the swap pays in USD this should be a USD cash instrument.
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.