template Instrument

This template models an interest rate swap. It pays a fix vs floating rate at the end of every payment period. The floating leg depends on a reference rate (observed at the beginning of the swap payment period). For example: 3M Euribor vs 2.5% fix.

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.
floatingRate FloatingRate A description of the floating rate to be used. This supports both Libor and SOFR style reference rates (using a compounded index, e.g. the SOFR Index).
ownerReceivesFix Bool Indicate whether a holding owner of this instrument receives the fix or the floating leg of the swap.
fixRate Decimal The interest rate of the fix leg. For example, in case of "3M Euribor vs 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.