This template models a currency swap. It pays a fix vs fix rate (in different currencies) at the end of every payment period. The principal in the foreign currency is calculated using an fx rate and the principal amount in the base currency. The principal is not exchanged. For example: USD 1000k principal, fx rate 1.10 -> EUR 1100k principal 3% fix rate on USD 1000k vs 2% fix rate on EUR 1100k
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. description Text A description of the instrument. ownerReceivesBase Bool Indicate whether a holding owner of this instrument receives the base currency leg or the foreign currency leg of the swap. baseRate Decimal The interest rate of the base currency. For example, in case of "3% in USD" this should be 0.03. foreignRate Decimal The interest rate of the foreign currency. For example, in case of "2% in EUR" this should be 0.02. 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. baseCurrency InstrumentKey The base currency of the swap. For example, in the case of USD this should be a USD cash instrument. foreignCurrency InstrumentKey The foreign currency of the swap. For example, in case of EUR this should be a EUR cash instrument. fxRate Decimal The fx rate used to convert from the base currency principal amount to the foreign currency principal amount. 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.