BondFuture.Definition
Summary
The method is used to create the Definition for a BondFuture.
Methods
Definition(params: BondFuture.Params)
Allows you to create a BondFuture data Definition object
BondFuture.Params properties:
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| instrumentCode | No | - | string | Code to define the Bond Future instrument. For the moment, only RICs are supported, with future code (ex:"FOATM0") or rolling code (ex:"FOATc3"). |
| instrumentTag | Yes | - | string | User provided string that will also be part of the response. It can be used to link output results to the instrument definition. Limited to 40 characters. Only alphabetic, numeric and '- _.#=@' characters are supported |
| notionalAmount | Yes | - | number | The notional amount of the bond future at the trade date. |
| underlyingInstruments | Yes | - | Bond.FinancialInstrument[]. See Bond.FinancialInstrument bellow | Definition of underlying instruments, that means the delivery basket. |
| pricingParameters | Yes | - | BondFuture.PricingParameters[] | See BondFuture.PricingParameters bellow |
| fields | Yes | - | string [] | - |
| outputs | Yes | - | enum | See BondFuture.Outputs |
| extendedParams | Yes | - | {[key: string]: any} | Specifies the parameters that will be merged with the request |
Bond.FinancialInstrument
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| instrumentType | No | - | string | - |
| instrumentDefinition | No | - | BondFuture.InstrumentDefinition[] | See BondFuture.InstrumentDefinition bellow |
| pricingParameters | Yes | - | BondFuture.PricingParameters[] | See BondFuture.PricingParameters bellow |
BondFuture.PricingParameters
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| valuationDate | Yes | - | string | The valuation date for pricing. The valuation date is the date where bond cash flow are discounted. |
| marketDataDate | Yes | - | string | The market data date for pricing. |
| reportCcy | Yes | - | string | Pricing data is computed in deal currency. If a report currency is set, pricing data is also computed in report currency. |
| priceSide | Yes | - | enum | Price side of the Bond Future to use for pricing Analysis. See PriceSide |
| price | Yes | - | number | Price to override that will be used as a pricing analysis input. |
| marketValueInDealCcy | Yes | - | number | Market value in deal currency. This field can be used to compute notionalAmount to apply to get this market value in deal currency. |
| marketValueInReportCcy | Yes | - | number | Market value in report currency. This field can be used to compute notionalAmount to apply to get this market value in report currency. |
| repoRatePercent | Yes | - | number | Custom Repo Rate in percentage. If not provided in the request, it will be computed by interpolating/extrapolating a Repo Curve. |
BondFuture.InstrumentDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| instrumentCode | No | - | string | Code to define the Bond Future instrument. For the moment, only RICs are supported, with future code (ex:"FOATM0") or rolling code (ex:"FOATc3"). |
| instrumentTag | Yes | - | string | User provided string that will also be part of the response. It can be used to link output results to the instrument definition. Limited to 40 characters. Only alphabetic, numeric and '- _.#=@' characters are supported |
| notionalAmount | Yes | - | number | The notional amount of the bond future at the trade date. |
| underlyingInstruments | Yes | - | Bond.FinancialInstrument[] | Definition of underlying instruments, that means the delivery basket. See Bond.FinancialInstrument above |
Returned value: a Definition object
getData(session: Session)
Sends a request to the data platform to retrieve the data described by the Definition object.
Parameters:
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| session | No | - | Session | Session instance |
Returned value: ContentResponse.
Learn more
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