CDS.Definition

Summary

The method is used to create the Definition for a CDS.

Methods

Definition(params: CDS.Params)

Allows you to create a CDS data Definition object

CDS.Params properties:

Property	Is Optional	Default Value	type	Description
accruedBeginDate	No	-	string	The first cash flow date in ISO 8601 format.
instrumentTag	Yes	-	string	A user-defined string to identify the instrument.
instrumentCode	Yes	-	string	A CDS RIC that is used to retrieve the description of the CDS contract.
cdsConvention	Yes	-	enum	ISDA - the start date will default to accruedBeginDate and the end date will be adjusted to the IMM Date.User-defined - the start date will default to step-in-date and the end date will not be adjusted. See CDS.CDSConvention
tradeDate	Yes	-	string	The date the CDS contract was created in ISO 8601 format.
stepInDate	Yes	-	string	The effective protection date in ISO 8601 format.
startDate	Yes	-	string	The date the CDS starts accruing interest. Its effective date is expressed in ISO 8601 format.
endDate	Yes	-	string	The maturity date of the CDS contract in ISO 8601 format.
tenor	Yes	-	string	The period code that represents the time between the start date and end date contract.
startDateMovingConvention	Yes	-	enum	The method to adjust the startDate. See CDS.BusinessDayConvention
endDateMovingConvention	Yes	-	enum	The method to adjust the endDate. See CDS.BusinessDayConvention
adjustToIsdaEndDate	Yes	-	boolean	The method the endDate is adjusted if computed from the Tenor input.
protectionLeg	Yes	-	CDS.ProtectionLegDefinition[]	The protection leg of the CDS. It is the default leg.See CDS.ProtectionLegDefinition bellow
premiumLeg	Yes	-	CDS.PremiumLegDefinition[]	The Premium Leg of the CDS. It is a swap leg paying a fixed coupon. See CDS.PremiumLegDefinition bellow
pricingParameters	Yes	-	CDS.PricingParameters[]	See CDS.PricingParameters bellow
fields	Yes	-	string []	-
outputs	Yes	-	enum	See CDS.Outputs
extendedParams	Yes	-	{[key: string]: any}	Specifies the parameters that will be merged with the request

CDS.ProtectionLegDefinition

Property	Is Optional	Default Value	Type	Description
direction	No	-	enum	The direction of the leg. See CDS.Direction
referenceEntity	No	-	string	The identifier of the reference entity. This can be: for Single Names - a RedCode, an OrgId, or a reference entity's RIC; for Indices - a RedCode, a ShortName, a CommonName.
docClause	Yes	-	enum	The restructuring clause or credit event for a Single Name CDS. See CDS.DocClause
indexFactor	Yes	-	number	The factor that is applied to the notional in case a credit event happens in one of the constituents of the CDS index. Specific to index CDS.
indexSeries	Yes	-	number	The series of the CDS index. Specific to index CDS
notionalAmount	Yes	-	number	The notional amount of the leg at the period start date.
notionalCcy	Yes	-	string	The ISO 4217 code of the notional currency.
recoveryRate	Yes	-	number	The percentage of recovery in case of a credit event.
recoveryRatePercent	Yes	-	number	-
seniority	Yes	-	enum	The order of repayment in case of a credit event for Single Name CDS. See CDS.Seniority
settlementConvention	Yes	-	string;	The cash settlement convention of the CDS.

CDS.PremiumLegDefinition

Property	Is Optional	Default Value	Type	Description
direction	No	-	enum	This is the direction of the leg. See CDS.Direction
interestCalculationMethod	No	-	enum	The method used to calculate the interest payments. See CDS.DayCountBasisConvention
interestPaymentCcy	No	-	string	The ISO code of the interest payment currency.
accruedCalculationMethod	Yes	-	enum	The method used to calculate the accrued interest payment. The possible values are the same as interestCalculationMethod. See CDS.DayCountBasisConvention
accruedPaidOnDefault	Yes	-	boolean	Specifies whether the accrued is paid at the credit event date or not. Yes - the accrued is paid at the credit event date; False - the accrued is not paid.
firstRegularPaymentDate	Yes	-	string	The first regular coupon payment date for a schedule with an odd first coupon.
fixedRatePercent	Yes	-	number
interestPaymentFrequency	Yes	-	enum	The frequency of the interest payments. See CDS.PaymentFrequency
lastRegularPaymentDate	Yes	-	string	The last regular coupon payment date for a schedule with an odd last coupon.
notionalAmount	Yes	-	number	The notional amount of the leg at the period start date.
notionalCcy	Yes	-	string	The ISO code of the notional currency.
paymentBusinessDayConvention	Yes	-	enum	This is the method to adjust dates to a working day. See CDS.BusinessDayConvention
paymentBusinessDays	Yes	-	string	A list of coma-separated calendar codes to adjust dates (e.g., EMU or USA).
stubRule	Yes	-	enum	The rule that defines whether the coupon roll dates are calculated backwards from maturity or forward from the issue date. See CDS.StubRule

CDS.PricingParameters

Property	Is Optional	Default Value	Type	Description
cashAmountInDealCcy	Yes	-	number	This is the override that will be used as a pricing analysis input to compute the other CDS outputs.
cleanPricePercent	Yes	-	number	This is the override that will be used as a pricing analysis input to compute other CDS outputs.
conventionalSpreadBp	Yes	-	number	This is the override that will be used as a pricing analysis input to compute the other CDS outputs.
upfrontAmountInDealCcy	Yes	-	number	This is the override that will be used as the pricing analysis input to compute other CDS outputs.
upfrontPercent	Yes	-	number	This is the override that will be used as a pricing analysis input to compute other CDS outputs.
valuationDate	Yes	-	string	The valuation date for pricing in ISO 8601 format.
marketDataDate	Yes	-	string	The market data date for pricing in ISO 8601 format
reportCcy	Yes	-	string	The ISO 4217 code for the reporting currency: Pricing data is computed in deal currency. If a reporting currency is set, pricing data is also computed in report currency.

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.

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