About Financial Contracts CapFloor

A CapFloor is an instrument type that can be requested using the FinancialContracts definition.

Syntax

FinancialContracts.Definition(JObject capFloorRequest)

Parameters

Returned value

FinancialContractsDefinition object.

Usage

The following example demonstrates how to create a FinancialContractsDefinition instance by providing a request object for CapFloor:

using Newtonsoft.Json.Linq;
using LSEG.Data.Content.IPA;
using LSEG.Data.Core;

    var capFloor = new JObject()
    {
        ["fields"] = new JArray("InstrumentDescription", "StartDate", "EndDate", "InterestPaymentFrequency", 
                                "IndexRic", "NotionalCcy", "NotionalAmount", "PremiumBp"),
        ["universe"] = new JArray(new JObject()
        {
            ["instrumentType"] = "CapFloor",
            ["instrumentDefinition"] = new JObject()
            {
                ["stubRule"] = "Maturity",
                ["notionalCcy"] = "USD",
                ["startDate"] = "2018-06-15",
                ["endDate"] = "2022-06-15",
                ["notionalAmount"] = 1000000,
                ["indexName"] = "Composite",
                ["indexTenor"] = "5Y",
                ["cmsTemplate"] = "USD_SB3L",
                ["interestCalculationMethod"] = "Dcb_Actual_360",
                ["interestPaymentFrequency"] = "Quarterly",
                ["buySell"] = "Buy",
                ["capStrikePercent"] = 1
            }
        }),
        ["pricingParameters"] = new JObject()
        {
            ["skipFirstCapFloorlet"] = false,
            ["valuationDate"] = "2020-02-07"
        }
    };

    var data = FinancialContracts.Definition(capFloor).GetData();

In the instrumentDefinition object, some values could be provided using the enumerations under the LSEG.Data.Content.IPA.Bond namespace.

The instrumentType must be "CapFloor" to retrieve relevant data for this specific case.