Bond.Definition
Summary
The method is used to create the Definition for a Bond.
Methods
Definition(instrumentCode: string)
Allows you to create a Bond data Definition object
Parameters:
| Name | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| instrumentCode | No | - | string | when it is passed as parameter, it will be used as instrumentCode from Bond.Params. |
Returned value: a Definition object
Definition(params: Bond.Params)
Allows you to create a Bond data Definition object
Bond.Params properties:
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| instrumentCode | No | - | string | A bond identifier. It can be an ISIN, a RIC or an AssetId. |
| instrumentTag | Yes | - | string | A user-defined string to identify the instrument. |
| notionalAmount | Yes | - | number | The notional amount of the bond at the trade date. |
| fixedRatePercent | Yes | - | string | The coupon rate of the bond. |
| issueDate | Yes | - | string | Date of issuance of the bond, expressed in ISO 8601 format. |
| endDate | Yes | - | string | The maturity date of the bond expressed in ISO 8601 format. |
| notionalCcy | Yes | - | string | The ISO 4217 code of notional currency of the bond. |
| interestPaymentFrequency | Yes | - | string | Coupon frequency of the bond. |
| interestCalculationMethod | Yes | - | enum | The day count fraction method used to calculate the coupon interest payments. See Bond.DayCountBasisConvention |
| accruedCalculationMethod | Yes | - | enum | The day count fraction method used to calculate the accrued interest payments. See Bond.DayCountBasisConvention |
| paymentBusinessDayConvention | Yes | - | enum | The method to adjust dates to working days. See Bond.BusinessDayConvention |
| paymentRollConvention | Yes | - | enum | The method to adjust payment dates when they fall at the end of the month (28th of February, 30th, 31st). See Bond.PaymentRollConvention |
| pricingParameters | Yes | - | PricingParameters[] | See Bond.PricingParameters bellow |
| fields | Yes | - | string[] | - |
| outputs | Yes | - | enum | See Bond.Outputs |
| extendedParams | Yes | - | {[key: string]: any} | Specifies the parameters that will be merged with the request |
Bond.PricingParameters
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| valuationDate | Yes | - | string | The valuation date for pricing. This is the date where the bond cash flows are discounted. |
| marketDataDate | Yes | - | string | The market data date for pricing. This field should not be in the future. The TradeDate field can be used as an alternative to MarketDataDate to compute a default valuation date in the future. |
| settlementConvention | Yes | - | string | The settlement tenor for the bond. By default, the rule is valuationDate = marketDataDate + settlementConvention. |
| reportCcy | Yes | - | string | Pricing data is computed in deal currency. If a reporting currency is set, pricing data is also computed in report currency. |
| priceSide | Yes | - | enum | The quoted price side of the bond to use for pricing analysis. See Bond.PriceSide |
| redemptionDateType | Yes | - | enum | The redemption date type of the bond. It is used to compute the default redemption date. See Bond.RedemptionDateType |
| redemptionDate | Yes | - | string | The redemption date that defines the end date for yield and price computation when redemption date type is set to RedemptionAtCustomDate. |
| yieldType | Yes | - | enum | YieldType to use for the rate model. See Bond.YieldType |
| taxOnIncomeGainPercent | Yes | - | number | |
| taxOnCapitalGainPercent | Yes | - | number | The tax on capital gain expressed in percent. |
| taxOnYieldPercent | Yes | - | number | The tax on yield expressed in percent. |
| taxOnPricePercent | Yes | - | number | The tax on price expressed in percent. |
| concessionFee | Yes | - | number | The fee to apply to the bond price. It is expressed in the same unit as the bond price (percent or cash). |
| benchmarkYieldSelectionMode | Yes | - | enum | The benchmark yield selection mode. See Bond.BenchmarkYieldSelectionMode |
| price | Yes | - | number | The price to override and be used as a pricing analysis input. This price can be the clean price or dirty price depending on price type defined in bond structure. |
| yieldPercent | Yes | - | number | The yield (expressed in percent) to override and be used as a pricing analysis input. |
| cleanPrice | Yes | - | number | The clean price to override and be used as a pricing analysis input. Note that the price is always in the same currency as the deal currency. |
| dirtyPrice | Yes | - | number | The dirty price to override and be used as a pricing analysis input. Note that the price is always in the same currency as the deal currency. |
| netPrice | Yes | - | number | The net price to override and be used as a pricing analysis input. Note that the price is always in the same currency as the deal currency. |
| cashAmount | Yes | - | number | The cash amount to override and be used as a pricing analysis input. |
| discountMarginBp | Yes | - | number | The discount margin basis points to override and be used as a pricing analysis input. Available only for FRNs. |
| simpleMarginBp | Yes | - | number | The simple margin basis points to override and be used as a pricing analysis input. Available only for FRNs. |
| neutralYieldPercent | Yes | - | number | The neutral yield (expressed in percent) to override and be used as a pricing analysis input. This is available only for FRNs. |
| currentYieldPercent | Yes | - | number | The current yield (expressed in percent) to override and be used as a pricing analysis input. |
| stripYieldPercent | Yes | - | number | The strip yield (expressed in percent) to override and be used as a pricing analysis input. |
| discountPercent | Yes | - | number | The discount (expressed in percent) to override and be used as a pricing analysis input. Should be used only for bond quoted in discount. |
| zSpreadBp | Yes | - | number | The Zero-volatility spread (ZSpread) (expressed in basis points) to override and be used as a pricing analysis input to compute the bond price. |
| assetSwapSpreadBp | Yes | - | number | The asset swap spread (expressed in basis points) to override and be used as a pricing analysis input to compute the bond price. |
| optionAdjustedSpreadBp | Yes | - | number | The Option Adjusted Spread (OAS) (expressed in basis points) to override and be used as a pricing analysis input to compute the bond price. |
| swapSpreadBp | Yes | - | number | The swap spread (expressed in basis points) to override and be used as a pricing analysis input to compute the bond price. |
| swapYieldPercent | Yes | - | number | The yield of swap benchmark to override and be used to compute a swap spread. |
| governmentSpreadBp | Yes | - | number | The government spread (expressed in basis points) to override and be used as a pricing analysis input to compute the bond price. |
| governmentBenchmarkCurveYieldPercent | Yes | - | number | The yield of government benchmark to override used to compute a government spread. |
| govCountrySpreadBp | Yes | - | number | The spread of the government country benchmark to override and be used as pricing analysis input to compute the bond price. |
| govCountryBenchmarkCurveYieldPercent | Yes | - | number | The yield of the government country benchmark to override and be used to compute a government country spread. |
| ratingSpreadBp | Yes | - | number | The rating spread (expressed in basis points) to override and be used as a pricing analysis input to compute the bond price. |
| ratingBenchmarkCurveYieldPercent | Yes | - | number | The yield of rating benchmark to override and be used to compute a rating spread. |
| sectorRatingSpreadBp | Yes | - | number | The sector rating spread (expressed in basis points) to override and be used as a pricing analysis input to compute the bond price. |
| sectorRatingBenchmarkCurveYieldPercent | Yes | - | number | The yield of sector rating benchmark to override and be used to compute a sector rating spread. |
| edsfSpreadBp | Yes | - | number | The spread of the euro-dollar future benchmark curve to override and be used as a pricing analysis input to compute the bond price. This spread is computed for the USD bond whose maturity is under 2 years. |
| edsfBenchmarkCurveYieldPercent | Yes | - | number | The yield of the euro-dollar future benchmark curve to override and be used to compute a Euro-Dollar (Edsf) spread. |
| issuerSpreadBp | Yes | - | number | The spread of the issuer benchmark to override and be used as a pricing analysis input to compute the bond price. This spread is computed is for corporate bonds. |
| issuerBenchmarkCurveYieldPercent | Yes | - | number | The yield of the issuer benchmark to override and be used to compute an issuer spread. |
| projectedIndexPercent | Yes | - | number | The projected index (expressed in percent) for bonds with floating coupons. If the parameter ForwardProjectedIndexCalculationMethod is set to ConstntIndex this parameter can be used to define the value of the index for future cash flows. |
| iborRatePercent | Yes | - | number | The Ibor rate (expressed in percent) for bonds with floating coupons. |
| iborSpotLag | Yes | - | string | The spot lag to apply on the Ibor curve to compute the Ibor rate. The spot lag is defined as a tenor (e.g., 0WD, 1WD, etc.,). |
| marketValueFeesInDealCcy | Yes | - | number | The fees to apply to the bond market value expressed in deal currency. MarketValueInDealCcy = CleanMarketValueInDealCcy + AccruedAmountInDealCcy + MarketValueFeesInDealCcy. |
| marketValueInDealCcy | Yes | - | number | The market value in deal currency. This field can be used to compute the notional amount to be applied to get the market value in deal currency. |
| marketValueInReportCcy | Yes | - | number | The market value in report currency. This field can be used to compute the notional amount to be applied to get the market value in report currency. |
| projectedIndexCalculationMethod | Yes | - | enum | A flag used to define how the projected index is computed for a floating coupon. See Bond.ProjectedIndexCalculationMethod |
| computeCashFlowFromIssueDate | Yes | - | boolean | A flag that can be used to compute cash flows from the issue date instead of the trade date. |
| roundingParameters | Yes | - | See Bond.RoundingParameters below | Definition of the rounding parameters to be applied on accrued, price or yield. |
| computeCashFlowWithReportCcy | Yes | - | boolean | A flag used to modify the currency of the cash flows. In which case, the whole pricing will be done with the reporting currency using an Fx Forward curve. |
Bond.RoundingParameters
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| accruedRounding | Yes | - | enum | The number of digits to apply for accrued rounding. See Bond.Rounding |
| accruedRoundingType | Yes | - | enum | The type of rounding for accrued rounding. See Bond.RoundingType |
| priceRounding | Yes | - | enum | The number of digits to apply for accrued rounding. See Bond.Rounding |
| priceRoundingType | Yes | - | enum | The type of rounding for accrued rounding. See Bond.RoundingType |
| yieldRounding | Yes | - | enum | The number of digits to apply for accrued rounding. See Bond.Rounding |
| yieldRoundingType | Yes | - | enum | The type of rounding for accrued rounding. See Bond.RoundingType |
getData(session: SessionSession)
Sends a request to the data platform to retrieve the data described by the Definition object.
Paramecters:
| Name | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| session | No | - | Session | Session instance |
Returned value: a ContentResponse object
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