About Financial Contracts Bond
A Bond class allows the financial instrument to be formed from the instrument code and parameters.
IPA.FinancialContracts.Bond.Definition object
Creates a Bond.Definition object by providing as a parameter an object literal of type Bond.Params.
Syntax
FinancialContracts.Bond.Definition(params: FinancialContracts.Bond.Params)
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| params | An object literal of type FinancialContracts.Bond.Params. | object | No | - |
Bond.Params properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| accruedCalculationMethod | The day count basis method used to calculate the accrued interest payments (see FinancialContracts.DayCountBasisConvention). | string | No | - |
| adjustInterestToPaymentDate | An indication if the coupon dates are adjusted to the payment dates (see FinancialContracts.AdjustInterest). | string | No | - |
| amortizationSchedule | The amortization schedule of the instrument (see Bond.AmortizationItemDefinition). | array | Yes | - |
| direction | The indication whether the cash flows of the instrument's leg are paid or received (see FinancialContracts.Direction). | string | No | - |
| endDate | The maturity or expiry date of the instrument. | string | Yes | - |
| firstAccrualDate | The date from which the interest starts accruing. | string | Yes | - |
| firstRegularPaymentDate | The first regular interest payment date used for the odd first interest period. | string | No | - |
| fixedRatePercent | The interest rate used to derive future fixed interest payments of the instrument. | number | No | - |
| fixedRatePercentSchedule | The step structure. | object | Yes | - |
| floorStrikePercent | The contractual strike rate of the floor. | number | No | - |
| indexAverageMethod | The method of calculating the average index value (see Bond.IndexAverageMethod). | string | No | - |
| indexCompoundingMethod | The method how the interest rate is calculated from the reset floating rates when the reset frequency is higher than the interest payment frequency (see Bond.IndexCompoundingMethod). | string | Yes | - |
| indexFixingLag | The number of working days between the fixing date of the index and the start of the interest accrual period ('InAdvance') or the end of the interest accrual period ('InArrears'). | number | No | - |
| indexFixingRic | The RIC that carries the fixing value if the instrument has a floating interest. | string | Yes | - |
| indexLockoutPeriod | The period from the start date (inclusive) of the index lockout to the end date of the interest calculation period for which the reference rate is no longer updated. | number | Yes | - |
| indexObservationMethod | (RFR) Method for determining the accrual observation period (see Bond.IndexObservationMethod). | string | Yes | - |
| indexResetFrequency | The reset frequency for the floating instrument (see FinancialContracts.PaymentFrequency). | string | No | - |
| instrumentCode | The code used to define the instrument. | string | Yes | - |
| instrumentTag | A user defined string to identify the instrument. | string | Yes | - |
| interestCalculationMethod | The day count basis method used to calculate the interest payments (see FinancialContracts.DayCountBasisConvention). | string | No | - |
| interestPaymentDelay | The number of working days between the end of the interest accrual period and the interest payment date. | number | No | - |
| interestPaymentFrequency | The interest payment frequency (see Bond.PaymentFrequency). | string | No | - |
| interestType | An indicator whether the instrument pays a fixed or floating interest (see Bond.InterestType). | string | Yes | - |
| isPerpetual | An indicator whether the instrument is perpetual or not. | boolean | Yes | - |
| issueDate | The date when the issue was registered. | string | Yes | - |
| lastRegularPaymentDate | The last regular interest payment date used for the odd last interest period. | string | No | - |
| notionalAmount | The notional amount of the instrument. | number | Yes | - |
| notionalCcy | The currency of the instrument's notional amount. | string | No | - |
| paymentBusinessDayConvention | The method to adjust dates to working days (see FinancialContracts.BusinessDayConvention). | string | No | - |
| paymentBusinessDays | A list of comma-separated calendar codes to adjust dates. | string | No | - |
| paymentRollConvention | The method to adjust payment dates when they fall at the end of the month (see FinancialContracts.PaymentRollConvention). | string | Yes | - |
| spreadBp | The spread applied to the floating interest rate of the instrument. | number | Yes | - |
| stubRule | The rule that defines whether coupon roll dates are aligned to the maturity or issue date (see FinancialContracts.StubRule). | string | No | - |
| template | A reference to a style used to define the instrument. | string | Yes | - |
| pricingParameters | Pricing parameters to apply to the Bond instrument (see Bond.PricingParameters). | enum | Yes | - |
| fields | A list of fields to return with the response. | string[] | Yes | - |
| outputs | The list of outputs which can be requested (see FinancialContracts.Output). | enum[] | Yes | - |
| extendedParams | Additional parameters to apply to the request. | object | Yes | - |
Returned value
ContentDefinition object.
Usage
The following example demonstrates how to create a definition for financial contracts Bond:
import { IPA } from '@lsegroup/data';
const definition = IPA.FinancialContracts.Bond.Definition({
instrumentCode: 'US1YT=RR',
paymentBusinessDayConvention: IPA.FinancialContracts.Bond.BusinessDayConvention.NextBusinessDay,
pricingParameters: {
benchmarkYieldSelectionMode: IPA.FinancialContracts.Bond.BenchmarkYieldSelectionMode.Interpolate,
},
outputs: [IPA.FinancialContracts.Bond.Output.Data, IPA.FinancialContracts.Bond.Output.Headers],
});
`