About Financial Contracts BondFuture
A BondFuture class allows the financial instrument to be formed from the instrument code and parameters.
IPA.FinancialContracts.BondFuture.Definition object
This object creates the definition of information about the BondFuture that we want to get.
Syntax
FinancialContracts.BondFuture.Definition(params: FinancialContracts.BondFuture.Params)
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| params | An object literal of type FinancialContracts.BondFuture.Params. | object | No | - |
BondFuture.Params properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| instrumentCode | The type of instrument defined in the request. | string | No | - |
| instrumentTag | A user-defined string to identify the instrument. It can be used to link output results to the instrument definition. | string | Yes | - |
| notionalAmount | The notional amount of the instrument. | number | Yes | - |
| underlyingInstruments | Definition of underlying instruments, that means the delivery basket (see BondFuture.FinancialInstrument below). | object | Yes | - |
| pricingParameters | Pricing parameters to apply to the Bond instrument (see BondFuture.PricingParameters below). | object | Yes | - |
| fields | A list of fields to return with the response. | string[] | Yes | - |
| outputs | The list of outputs which can be requested (see BondFuture.Output). | enum[] | Yes | - |
| extendedParams | Additional parameters to apply to the request. | object | Yes | - |
BondFuture.FinancialInstrument properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| instrumentType | The type of instrument defined in the request. | string | No | - |
| instrumentDefinition | Definition of the Bond Future contract (see BondFuture.InstrumentDefinition below). | object | No | - |
| pricingParameters | Pricing parameters to apply to the Bond Future instrument (see BondFuture.PricingParameters below). | object | Yes | - |
BondFuture.InstrumentDefinition properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| instrumentCode | The code used to define the instrument. | string | No | - |
| instrumentTag | A user-defined string to identify the instrument. It can be used to link output results to the instrument definition. | string | Yes | - |
| notionalAmount | The notional amount of the instrument. | number | Yes | - |
| underlyingInstruments | The definition of the underlying instruments, provided in the delivery basket (see BondFuture.FinancialInstrument above). | object[] | Yes | - |
BondFuture.PricingParameters properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| valuationDate | The date at which the instrument is valued. The value is expressed in ISO 8601 format. | string | No | - |
| marketDataDate | The date at which the market data is retrieved. The value is expressed in ISO 8601 format. | string | Yes | - |
| reportCcy | The reporting currency code, expressed in ISO 4217 alphabetical format (e.g., 'USD'). | string | Yes | - |
| priceSide | The quoted price side of the instrument (see BondFuture.PriceSide). | enum | Yes | - |
| price | The price of the instrument quoted according to the market convention. If not set by a user it is quoted according to priceSide. | number | Yes | - |
| marketValueInDealCcy | The market value of the instrument, expressed in the deal currency (NotionalCcy in output). | number | Yes | - |
| marketValueInReportCcy | The market value of the instrument computed as [MarketValueInDealCcy × FxSpot]. The value is expressed in the reporting currency. | number | Yes | - |
| repoRatePercent | The repo rate used to compute the forward price of the deliverable bond. The value is expressed in percentages. | number | Yes | - |
Returned value
ContentDefinition object.
Usage
The following example demonstrates how to create a definition for financial contracts BondFuture:
import { IPA } from '@lsegroup/data';
const definition = IPA.FinancialContracts.BondFuture.Definition({
instrumentCode: 'FOATc3',
pricingParameters: { valuationDate: '2020-04-24' }
});
`