About Financial Contracts CapFloor
A CapFloor class allows the financial instrument to be formed from the instrument code and parameters.
CapFloor.Definition object
This object creates the definition of information about the CapFloor that we want to get.
Syntax
FinancialContracts.CapFloor.Definition(params: FinancialContracts.CapFloor.Params)
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| params | An object literal of type FinancialContracts.CapFloor.Params. | object | No | - |
CapFloor.Params properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| adjustInterestToPaymentDate | An indication if the coupon dates are adjusted to the payment dates (see FinancialContracts.AdjustInterest). | string | Yes | - |
| amortizationSchedule | The amortization schedule of the instrument (see AmortizationItemDefinition below). | array | Yes | - |
| annualizedRebate | An indicator if the rebate is adjusted according to the frequency of the cap. | boolean | Yes | - |
| barrierDefinition | (see BarrierDefinitionElement below). | Yes | - | |
| buySell | The indicator of the deal side (see FinancialContracts.BuySell). | string | Yes | - |
| capDigitalPayoutPercent | A percentage of notionalAmount that is received (paid) by the option buyer (seller) if the option expires on or above the cap strike. | number | Yes | - |
| capStrikePercent | The contractual strike rate of the cap. | number | Yes | - |
| capStrikePercentSchedule | The schedule of the dates and cap strike rates. | object | Yes | - |
| cmsTemplate | A reference to a common swap contract that represents the underlying swap in case of a Constant Maturity Swap contract (CMS). | string | Yes | - |
| endDate | The maturity or expiry date of the instrument. | string | Yes | - |
| firstRegularPaymentDate | The first regular interest payment date used for the odd first interest period. | string | Yes | - |
| floorDigitalPayoutPercent | A percentage of notionalAmount that is received (paid) by the option buyer (seller) if the option expires on or below the floor strike. | number | Yes | - |
| floorStrikePercent | The contractual strike rate of the floor. | number | Yes | - |
| floorStrikePercentSchedule | The schedule of the dates and floor strike rates. | object | 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 | Yes | - |
| indexFixingRic | The RIC that carries the fixing value if the instrument has a floating interest. | string | Yes | - |
| indexName | The name of the floating rate index. | string | Yes | - |
| indexPriceSide | The quoted price side of the floating rate index that applies to legs or the instrument (see FinancialContracts.PriceSide). | string | Yes | - |
| indexResetFrequency | The reset frequency for the floating instrument (see FinancialContracts.PaymentFrequency). | string | Yes | - |
| indexResetType | The reset type indicating if the floating rate index is reset before the coupon period starts or at the end of the coupon period (see FinancialContracts.ResetType). | string | Yes | - |
| indexSource | . | string | Yes | - |
| indexTenor | The period code indicating the tenor of the underlying floating rate index (e.g., '1M', '1Y'). | string | Yes | - |
| instrumentTag | A user defined string to identify the instrument. | string | Yes | - |
| interestCalculationConvention | The convention applied to calculate the interest payments (see CapFloor.InterestCalculationConvention). | string | Yes | - |
| interestCalculationMethod | The day count basis method used to calculate the interest payments (see FinancialContracts.DayCountBasisConvention). | string | Yes | - |
| interestPaymentFrequency | The interest payment frequency (see FinancialContracts.PaymentFrequency). | string | Yes | - |
| isBackwardLookingIndex | An indicator if the underlying fixing rate is backward-looking (Mostly Risk-Free-Rate). | boolean | Yes | - |
| lastRegularPaymentDate | The last regular interest payment date used for the odd last interest period. | string | Yes | - |
| notionalAmount | The notional amount of the instrument. | number | Yes | - |
| notionalCcy | The currency of the instrument's notional amount. | string | Yes | - |
| paymentBusinessDayConvention | The method to adjust dates to working days (see FinancialContracts.BusinessDayConvention). | string | Yes | - |
| paymentBusinessDays | A list of comma-separated calendar codes to adjust dates. | string | Yes | - |
| paymentRollConvention | The method to adjust payment dates when they fall at the end of the month (see FinancialContracts.PaymentRollConvention). | string | Yes | - |
| payments | The array of properties which can be used to define instrument’s premium for cash flow analysis. (see InputFlow below). | array | Yes | - |
| startDate | The start date of the instrument. | string | Yes | - |
| stubRule | The rule that defines whether coupon roll dates are aligned to the maturity or issue date (see FinancialContracts.StubRule). | string | Yes | - |
| tenor | The code indicating the period between StartDate and EndDate of the instrument. | string | Yes | - |
| pricingParameters | The pricing parameters to apply to the Cap/Floor instrument (see PricingParameters below). | 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 | - |
CapFloor.AmortizationItemDefinition properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| amortizationFrequency | Frequency of the amortization (see CapFloor.AmortizationFrequency). | enum | No | - |
| amortizationType | Amortization type (see CapFloor.AmortizationType). | enum | No | - |
| amount | Amortization Amount at each amortization date. | number | No | - |
| remainingNotional | The remaining notional amount after amortization. | number | Yes | - |
| startDate | Start date of an amortization section/window, or stepped rate. | string | Yes | - |
| endDate | End date of an amortization section/window, or stepped rate. | string | Yes | - |
CapFloor.InputFlow properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| amount | The amount paid (negative sign of the amount) or received (positive sign of the amount). | number | Yes | - |
| currency | The code of amount currency, expressed in ISO 4217 alphabetical format (e.g., 'CHF'). | string | Yes | - |
| date | The date of the instrument cash flow. | string | Yes | - |
CapFloor.BarrierDefinitionElement properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| barrierDirection | The type of the barrier option based on the direction of the underlying asset price when it is activated or deactivated (see CapFloor.BarrierDirection). | string | Yes | - |
| barrierDownPercent | The rate used as a barrier level. | number | Yes | - |
| barrierType | The type of the barrier option (see CapFloor.BarrierType). | string | Yes | - |
| barrierUpPercent | The rate used as a barrier level. | number | Yes | - |
| rebateDownPercent | The rebate provided to investors when the down barrier option is not able to be exercised and becomes worthless. | number | Yes | - |
| rebateUpPercent | The rebate provided to investors when the up barrier option is not able to be exercised and becomes worthless. | number | Yes | - |
CapFloor.PricingParameters properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| impliedVolatilityBp | The implied normal volatility, expressed in basis points. | number | Yes | - |
| impliedVolatilityPercent | The implied lognormal volatility, expressed in percentages. | number | Yes | - |
| indexConvexityAdjustmentIntegrationMethod | The integration method used for static replication method (see CapFloor.ConvexityAdjustmentIntegrationMethod). | string | Yes | - |
| indexConvexityAdjustmentMethod | The convexity adjustment method (see CapFloor.ConvexityAdjustmentMethod). | string | Yes | - |
| marketDataDate | The date at which the market data is retrieved. | string | Yes | - |
| marketValueInDealCcy | The market value of the instrument. | number | Yes | - |
| priceSide | The price side of the instrument which comes from the instrument's quote or from the curve (derived from quotes) used to value the instrument (see FinancialContracts.PriceSide). | string | Yes | - |
| reportCcy | The reporting currency code, expressed in ISO 4217 alphabetical format. | string | Yes | - |
| skipFirstCapFloorlet | An indicator if the first caplet is to be taken into consideration. | boolean | Yes | - |
| valuationDate | The date at which the instrument is valued. | string | Yes | - |
Returned value
ContentDefinition object.
Usage
The following example demonstrates how to create a definition for financial contracts CapFloor:
import { IPA } from '@lsegroup/data';
const definition = IPA.FinancialContracts.CapFloor.Definition({
notionalCcy: 'EUR',
buySell: IPA.FinancialContracts.CapFloor.BuySell.Buy,
capStrikePercent: 1,
startDate: '2019-02-11',
tenor: '5Y',
interestPaymentFrequency: IPA.FinancialContracts.CapFloor.PaymentFrequency.Quarterly,
pricingParameters: { valuationDate: '2020-04-24' },
});
`