CapFloor.Definition
Summary
The method is used to create the Definition for a CapFloor.
Methods
Definition(params: CapFloor.Params)
Allows you to create a CapFloor data Definition object
CapFloor.Params properties:
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| notionalCcy | No | - | string | The ISO code of the notional currency. |
| buySell | No | - | enum | The side of the deal. BuySell |
| capStrikePercent | No | - | number | Cap leg strike expressed in % |
| adjustInterestToPaymentDate | Yes | - | enum | A flag that indicates if the coupon dates are adjusted to the payment dates. See CapFloor.AdjustInterest |
| amortizationSchedule | Yes | - | AmortizationItemDefinition[] | General class to describe a section/item of amortization schedule. See CapFloor.AmortizationItemDefinition bellow |
| endDate | Yes | - | string | The maturity date of the CapFloor |
| floorStrikePercent | Yes | - | number | Floor leg strike expressed in % |
| indexFixingLag | Yes | - | number | Defines the positive number of working days between the fixing date and the start of the coupon period ('InAdvance') or the end of the coupon period ('InArrears'). |
| indexFixingRic | Yes | - | string | The RIC that carries the fixing value. |
| indexName | Yes | - | string | The name of the floating rate index. |
| indexResetFrequency | Yes | - | enum | The reset frequency in case the leg Type is Float. See CapFloor.PaymentFrequency |
| indexResetType | Yes | - | enum | A flag that indicates if the floating rate index is reset before the coupon period starts or at the end of the coupon period. See CapFloor.ResetType |
| indexTenor | Yes | - | string | The period code that represents the maturity of the floating rate index. |
| instrumentTag | Yes | - | string | User defined string to identify the instrument. |
| interestCalculationMethod | Yes | - | enum | The Day Count Basis method used to calculate the coupon interest payments. See CapFloor.DayCountBasisConvention |
| interestPaymentFrequency | Yes | - | enum | The frequency of the interest payments. See CapFloor.PaymentFrequency |
| notionalAmount | Yes | - | number | The notional amount of the leg at the period start date. |
| paymentBusinessDayConvention | Yes | - | enum | The method to adjust dates to a working day. See CapFloor.PaymentFrequency |
| paymentRollConvention | Yes | - | enum | The method to adjust payment dates whn they fall at the end of the month (28th of February, 30th, 31st). See CapFloor.PaymentFrequency |
| startDate | Yes | - | string | The option start date |
| stubRule | Yes | - | enum | The rule that defines whether coupon roll dates are aligned on the maturity or the issue date. See StubRule |
| tenor | Yes | - | string | Tenor of the option |
| pricingParameters | Yes | - | CapFloor.PricingParameters[] | See CapFloor.PricingParameters bellow |
| fields | Yes | - | string [] | - |
| outputs | Yes | - | enum | See CapFloor.Outputs |
| extendedParams | Yes | - | {[key: string]: any} | Specifies the parameters that will be merged with the request |
CapFloor.AmortizationItemDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| amortizationFrequency | Yes | - | enum | Frequency of the Amortization. AmortizationFrequency |
| amortizationType | Yes | - | enum | Amortization type Annuity, Schedule, Linear. AmortizationType |
| amount | Yes | - | number | Amortization Amount at each Amortizatin Date |
| endDate | Yes | - | string | End Date of an amortization section/window, or stepped rate |
| remainingNotional | Yes | - | number | The Remaining Notional Amount after Amortization |
| startDate | Yes | - | string | Start Date of an amortization section/window, or stepped rate |
CapFloor.PricingParameters
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| indexConvexityAdjustmentIntegrationMethod | Yes | - | enum | See CapFloor.ConvexityAdjustmentIntegrationMethod |
| indexConvexityAdjustmentMethod | Yes | - | enum | See CapFloor.ConvexityAdjustmentMethod |
| marketValueInDealCcy | Yes | - | number | MarketValueInDealCcy to override and that will be used as pricing analysis input to compute VolatilityPercent. |
| reportCcy | Yes | - | string | Valuation is performed in deal currency. If a report currency is set, valuation is done in that report currency. |
| skipFirstCapFloorlet | Yes | - | boolean | Indicates whether to take in consideration the first caplet. |
| valuationDate | Yes | - | string | The valuation date for pricing. |
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.