This template models a foreign exchange swap (FX Swap). It has two legs: an initial FX transaction and a final FX transaction. The instrument has a base currency and a foreign currency. The convention is that a holding owner receives the foreign currency in the initial transaction (and pays it in the final transaction). Both FX rates and transaction dates are predetermined between the counterparties. For example: USD 1000k vs EUR 1100k (fx rate: 1.10) today USD 1000k vs EUR 1200k (fx rate: 1.20) in 6 months
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. firstFxRate Decimal The fx rate used for the first swap payment. finalFxRate Decimal The fx rate used for the final swap payment. issueDate Date The date when the swap was issued. firstPaymentDate Date The first payment date of the swap. maturityDate Date The final payment date of the swap. baseCurrency InstrumentKey The base currency of the swap, which will be exchanged to another (foreign) currency on the first payment date. For example, in 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. 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.