Repo.Definition

Summary

The method is used to create a Definition object.

Methods

Definition(params: Repo.Params)

Description: Creates a Repo data Definition object

Parameters:

Property	Is Optional	Default Value	Type	Description
underlyingInstruments	No	-	RepoUnderlyingContractInstrument[]	Definition of the underlying instruments. Only Bond Contracts are supported for now, and only one Bond can be use. See Repo.RepoUnderlyingContractInstrument bellow
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.
startDate	Yes	-	string	When the underlying security is exchanged.
endDate	Yes	-	string	The repurchase date of the repo, when the seller (borrower) repurchases the security back.
tenor	Yes	-	string	Tenor that defines the duration of the Repo in case no EndDate has been provided. In that case, EndDate is computed from StartDate and Tenor.
isCouponExchanged	Yes	-	boolean	Specifies whether or not intermediate coupons are exchanged: True /No
repoRatePercent	Yes	-	number	Custom Repo Rate in percentage. If not provided in the request, it will be computed by interpolating/extrapolating a Repo Curve.
dayCountBasis	Yes	-	enum	Day Count Basis convention to apply to the custom Repo rate. See Repo.DayCountBasisConvention
pricingParameters	Yes	-	Repo.PricingParameters[]	This object property contains the properties that may be used to control the calculation. See Repo.PricingParameters bellow
fields	Yes	-	string []	-
outputs	Yes	-	enum	See Repo.Outputs
extendedParams	Yes	-	{[key: string]: any}	Specifies the parameters that will be merged with the request

When string is passed as parameter, it will be used as instrumentCode from Repo.Params.

Repo.RepoUnderlyingContractInstrument

Property	Is Optional	Default Value	Type	Description
instrumentType	No	-	string	-
instrumentDefinition	No	-	Bond.InstrumentDefinition[]	Definition of the Repo underlying contract. For the moment only bonds are managed. See Bond.InstrumentDefinition bellow
pricingParameters	Yes	-	Repo.RepoUnderlyingPricingParameters[]	Pricing parameters to apply to the Repo underlying instrument. See Repo.RepoUnderlyingPricingParameters bellow

Bond.InstrumentDefinition

Property	Is Optional	Default Value	Type	Description
instrumentCode	No	-	string	-
instrumentTag	Yes	-	string	User provided string set to identify the instrument.
notionalAmount	Yes	-	number	Notional amount of the underlying.
fixedRatePercent	Yes	-	string	-
issueDate	Yes	-	string	-
endDate	Yes	-	string	-
notionalCcy	Yes	-	string	-
interestPaymentFrequency	Yes	-	string	-
interestCalculationMethod	Yes	-	enum	See Repo.DayCountBasisConvention
accruedCalculationMethod	Yes	-	enum	See Repo.DayCountBasisConvention
paymentBusinessDayConvention	Yes	-	enum	See Repo.BusinessDayConvention
paymentRollConvention	Yes	-	enum	See Repo.PaymentRollConvention

Repo.PricingParameters

Property	Is Optional	Default Value	Type	Description
valuationDate	Yes	-	string	The valuation date for pricing. The valuation date is the date where cash flow is discounted.
marketDataDate	Yes	-	string	The market data date for pricing.
settlementConvention	Yes	-	string	Settlement tenor for the repo. By default, the rule is that repoStartDate = valuationDate = marketDataDate + settlementConvention.
reportCcy	Yes	-	string	Pricing data is computed in deal currency. If a report currency is set, pricing data is also computed in report currency.
couponReinvestmentRatePercent	Yes	-	number	Rate used to reinvest the underlying asset's income.
repoCurveType	Yes	-	enum	Curve used to compute the repo rate. See Repo.RepoCurveType

Repo.RepoUnderlyingPricingParameters

Property	Is Optional	Default Value	Type	Description
repoParameters	Yes	-	Repo.RepoParameters[]	Repo parameters to be applied on underlying bond. See Repo.RepoParameters bellow
pricingParametersAtEnd	Yes	-	enum	Pricing parameters of underlying bond at Repo end date. See Bond.PricingParameters
pricingParametersAtStart	Yes	-	enum	Pricing parameters of underlying bond at Repo start date. See Bond.PricingParameters
valuationDate	Yes	-	string	The valuation date for pricing. The valuation date is the date where cash flow is discounted.

Repo.RepoParameters

Property	Is Optional	Default Value	Type	Description
couponPaidAtHorizon	Yes	-	boolean	Total amount of coupon paid at the end date of the repo, without reinvestment. The value is equal to 0 If IsCouponExchanged=false.
haircutRatePercent	Yes	-	number	Repo contract's haircut par in percentage, for computing the transaction's Margin.
initialMarginPercent	Yes	-	number	Repo contract's initial margin in percentage. InitialMarginPercent=100/ (1- HaircutPercent/100).

Returned value: a Definition object

getData(session: Session)

Description: 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