Data Types

data Asset

Describes the attributes of an Asset swap.


Field Type Description
instrument InstrumentKey The instrument’s key.
description Text The description of the swap.
underlyings [Underlying] The list of underlyings (the basket of reference assets for the asset swap).
ownerReceivesRate Bool Indicate whether a holding owner of this instrument receives the rate or the asset leg of the swap.
floatingRate Optional FloatingRate A description of the floating rate to be used (if applicable). This supports both Libor and SOFR style reference rates (using a compounded index, e.g. the SOFR Index).
fixRate Decimal The interest rate of the fix leg. For example, in case of "AAPL total return vs 2.5% fix" this should be 0.025. This can also be used as a floating rate spread. For example, in case of "3M Libor + 0.5%" this should be 0.005.
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.
lastEventTimestamp Time (Market) time of the last recorded lifecycle event. If no event has occurred yet, the time of creation should be used.

instance Eq Asset

instance Show Asset

data Underlying

Describes an underlying of a product.


Field Type Description
referenceAsset InstrumentKey The underlying’s key.
referenceAssetId Text The reference asset ID. This is used to retrieve observations for this underlying.
weight Decimal The basket weight of the underlying.
initialPrice Decimal The initial price of the underlying.

instance Eq Underlying

instance Show Underlying