IRSwap.Definition

Summary

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

Methods

Definition(params: IRSwap.Params)

Allows you to creates an IRSwap data Definition object

IRSwap.Params properties:

Property	Is Optional	Default Value	Type	Description
instrumentTag	Yes	-	string	A user provided string that will also be part of the response. Max length: 40 characters. Only alphabetic, numeric and '- _.#=@' characters are allowed.
tradeDate	Yes	-	string	Swap contract creation date.
startDate	Yes	-	string	The date on which the swap starts accruing interest (effective date).
endDate	Yes	-	string	The maturity date of the swap.
tenor	Yes	-	string	The period code that represents the time between the start date and end date
settlementCcy	Yes	-	string	For non-deliverable instrument, the ISO 4217 code of the settlement currency.
isNonDeliverable	Yes	-	boolean	A flag that indicates if the swap is non-deliverable.
instrumentCode	Yes	-	string	A swap RIC that is used to retrieve the description of the swap contract.
template	Yes	-	string	A reference to a common swap contract.
legs	Yes	-	SwapLegDefinition[]	The legs of the Swap to provide a full definition of the swap if no template or instrumentCode have been defined. See IRSwap.SwapLegDefinition bellow
pricingParameters	Yes	-	IRSwap.PricingParameters	See IRSwap.PricingParameters bellow
fields	Yes	-	string []
outputs	Yes	-	enum	See IRSwap.Outputs
extendedParams	Yes	-	{[key: string]: any}	Specifies the parameters that will be merged with the request

IRSwap.SwapLegDefinition

Property	Is Optional	Default Value	Type	Description
interestType	No	-	enum	A flag that indicates whether the leg is fixed or float. See IRSwap.InterestType
direction	No	-	enum	The direction of the leg. See IRSwap.Direction
notionalCcy	No	-	string	ISO 4217 code of the notional currency.
interestPaymentFrequency	No	-	enum	Frequency of the interest payments.See IRSwap.PaymentFrequency
interestCalculationMethod	No	-	enum	The method used to calculate the interest payments. See IRSwap.DayCountBasisConvention
legTag	Yes	-	string	User-defined string to identify the leg
notionalAmount	Yes	-	number	Notional amount of the leg at the period start date.
fixedRatePercent	Yes	-	number	Fixed coupon rate in percentage.
indexName	Yes	-	string	The name of the floating rate index. Cf list of index names below.
indexTenor	Yes	-	string	The tenor (1M, 2M, ..., 1Y) of the floating rate index.
indexFixingRIC	Yes	-	string	RIC to get the fixing. This value overrides the RIC associated internally with the IndexName and IndexTenor
spreadBp	Yes	-	number	The spread in basis point that is added to the floating rate index value.
accruedCalculationMethod	Yes	-	enum	The method used calculate the accrued interest payment. Possible values are the same as for interestCalculationMethod. See IRSwap.DayCountBasisConvention
paymentBusinessDayConvention	Yes	-	enum	The method to adjust dates to a working day. See IRSwap.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 IRSwap.PaymentRollConvention
indexResetFrequency	Yes	-	enum	The reset frequency in case the leg Type is Float. See IRSwap.ResetFrequency
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 IRSwap.ResetType
indexFixingLag	Yes	-	number	Defines the number of working days between the fixing date and the start of the coupon period ('InAdvance') or the end of the coupon period ('InArrears'). Cf indexResetType field.
firstRegularPaymentDate	Yes	-	string	The first regular coupon payment date for swaps with an odd first coupon.
lastRegularPaymentDate	Yes	-	string	The last regular coupon payment date for swaps with an odd last coupon.
amortizationSchedule	Yes	-	any	A structure that defines the amortization schedule of the swap (see Amortizations section for more details).
paymentBusinessDays	Yes	-	string	A list of coma-separated calendar codes to adjust dates (e.g., 'EMU' or 'USA').
notionalExchange	Yes	-	enum	A flag that indicates if and when the notional amount exchanged. See IRSwap.NotionalExchange
adjustInterestToPaymentDate	Yes	-	enum	A flag that indicates if the coupon dates are adjusted to the payment dates.See IRSwap.AdjustInterest
indexCompoundingMethod	Yes	-	enum	A flag that defines how the coupon rate is calculated from the reset floating rates when the reset frequency is higher than the interest payment frequency (e.g. daily index reset with quarterly interest payment). See IRSwap.IndexCalculationMethod
interestPaymentDelay	Yes	-	number	The number of working days between the end of coupon period and the actual interest payment date.
stubRule	Yes	-	enum	The rule that defines whether coupon roll dates are calculated backwards from maturity or forward from the issue date. See IRSwap.StubRule

IRSwap.PricingParameters

Property	Is Optional	Default Value	Type	Description
valuationDate	Yes	-	string	The valuation 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.
marketDataDate	Yes	-	string	The market data date for pricing.
marketValueInDealCcy	Yes	-	number	The target market value of the swap expressed in deal currency.
discountingTenor	Yes	-	string	User defined discounting tenor (ex: OIS, 1M, 3M, 6M, 1Y) applied to both legs of the swap.
discountingCcy	Yes	-	string	User defined discounting currency.
indexConvexityAdjustmentType	Yes	-	string	Convexity adjustment type for CMS swaps and Libor in arrears swaps. Values can be: None, BlackScholes, LiborSwapMethod, or Replication.

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: a ContentResponse.

Learn more