Data Types

data CurrencySwap

Describes the attributes of a Currency swap.


Field Type Description
instrument InstrumentKey The instrument’s key.
description Text The description of the swap.
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.
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 CurrencySwap

instance Show CurrencySwap