About Financial Contracts CDS
A CDS class allows the financial instrument to be formed from the instrument code and parameters.
IPA.FinancialContracts.CDS.Definition object
This object creates the definition of information about the CDS that we want to get.
Syntax
FinancialContracts.CDS.Definition(params: FinancialContracts.CDS.Params)
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| params | An object literal of type FinancialContracts.CDS.Params. | object | No | - |
CDS.Params properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| accruedBeginDate | The first cash flow date in ISO 8601 format. | string | No | - |
| instrumentTag | A user-defined string to identify the instrument. | string | Yes | - |
| instrumentCode | A CDS RIC that is used to retrieve the description of the CDS contract. | string | Yes | - |
| cdsConvention | ISDA - the start date will default to accruedBeginDate and the end date will be adjusted to the IMM Date. User-defined - the start date will default to step-in-date and the end date will not be adjusted (see CDS.CDSConvention). | enum | Yes | - |
| tradeDate | The date the CDS contract was created in ISO 8601 format. | string | Yes | - |
| stepInDate | The effective protection date in ISO 8601 format. | string | Yes | - |
| startDate | The date the CDS starts accruing interest. Its effective date is expressed in ISO 8601 format. | string | Yes | - |
| endDate | The maturity date of the CDS contract in ISO 8601 format. | string | Yes | - |
| tenor | The period code that represents the time between the start date and end date contract. | string | Yes | - |
| startDateMovingConvention | The method to adjust the startDate (see CDS.BusinessDayConvention). | enum | Yes | - |
| endDateMovingConvention | The method to adjust the endDate (see CDS.BusinessDayConvention). | enum | Yes | - |
| adjustToIsdaEndDate | The method the endDate is adjusted if computed from the Tenor input. | boolean | Yes | - |
| protectionLeg | The protection leg of the CDS. It is the default leg (see CDS.ProtectionLegDefinition below). | object | Yes | - |
| premiumLeg | The Premium Leg of the CDS. It is a swap leg paying a fixed coupon (see CDS.PremiumLegDefinition below). | object | Yes | - |
| pricingParameters | Pricing parameters to apply to the CDS (see CDS.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 CDS.Output). | enum[] | Yes | - |
| extendedParams | Additional parameters to apply to the request. | object | Yes | - |
CDS.ProtectionLegDefinition properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| direction | The direction of the leg (see CDS.Direction). | enum | No | - |
| referenceEntity | The identifier of the reference entity. This can be: for Single Names - a RedCode, an OrgId, or a reference entity's RIC; for Indices - a RedCode, a ShortName, a CommonName. | string | Yes | - |
| docClause | The restructuring clause or credit event for a Single Name CDS (see CDS.DocClause). | enum | Yes | - |
| indexFactor | The factor that is applied to the notional in case a credit event happens in one of the constituents of the CDS index. Specific to index CDS. | number | Yes | - |
| indexSeries | The series of the CDS index. Specific to index CDS. | number | Yes | - |
| notionalAmount | The notional amount of the leg at the period start date. | number | Yes | - |
| notionalCcy | The ISO 4217 code of the notional currency. | string | Yes | - |
| recoveryRate | The percentage of recovery in case of a credit event. | number | Yes | - |
| recoveryRatePercent | The percentage of recovery in case of a credit event. | number | Yes | - |
| seniority | The order of repayment in case of a credit event for Single Name CDS (see CDS.Seniority). | enum | Yes | - |
| settlementConvention | The cash settlement convention of the CDS. | string | Yes | - |
CDS.PremiumLegDefinition properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| direction | This is the direction of the leg (see CDS.Direction). | enum | Yes | - |
| interestCalculationMethod | The method used to calculate the interest payments (see CDS.DayCountBasisConvention). | enum | Yes | - |
| interestPaymentCcy | The ISO code of the interest payment currency. | string | Yes | - |
| accruedCalculationMethod | The method used to calculate the accrued interest payment. The possible values are the same as interestCalculationMethod (see CDS.DayCountBasisConvention). | enum | Yes | - |
| accruedPaidOnDefault | Specifies whether the accrued is paid at the credit event date or not. True - the accrued is paid at the credit event date; False - the accrued is not paid. | boolean | Yes | - |
| firstRegularPaymentDate | The first regular coupon payment date for a schedule with an odd first coupon | string | Yes | - |
| fixedRatePercent | The fixed coupon rate in percentage. | number | Yes | - |
| interestPaymentFrequency | The frequency of the interest payments (see CDS.PaymentFrequency). | enum | Yes | - |
| lastRegularPaymentDate | The last regular coupon payment date for a schedule with an odd last coupon. | string | Yes | - |
| notionalAmount | The notional amount of the leg at the period start date. | number | Yes | - |
| notionalCcy | The ISO code of the notional currency. | string | Yes | - |
| paymentBusinessDayConvention | This is the method to adjust dates to a working day (see CDS.BusinessDayConvention). | enum | Yes | - |
| paymentBusinessDays | A list of coma-separated calendar codes to adjust dates (e.g., EMU or USA). | string | Yes | - |
| stubRule | The rule that defines whether the coupon roll dates are calculated backwards from maturity or forward from the issue date (see CDS.StubRule). | enum | Yes | - |
CDS.PricingParameters properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| cashAmountInDealCcy | This is the override that will be used as a pricing analysis input to compute the other CDS outputs. | number | Yes | - |
| cleanPricePercent | This is the override that will be used as a pricing analysis input to compute other CDS outputs. | number | Yes | - |
| conventionalSpreadBp | This is the override that will be used as a pricing analysis input to compute the other CDS outputs. | number | Yes | - |
| upfrontAmountInDealCcy | This is the override that will be used as the pricing analysis input to compute other CDS outputs. | number | Yes | - |
| upfrontPercent | This is the override that will be used as a pricing analysis input to compute other CDS outputs. | number | Yes | - |
| valuationDate | The valuation date for pricing in ISO 8601 format | string | Yes | - |
| marketDataDate | The market data date for pricing in ISO 8601 format | string | Yes | - |
| reportCcy | The ISO 4217 code for the reporting currency: Pricing data is computed in deal currency. If a reporting currency is set, pricing data is also computed in report currency. | string | Yes | - |
Returned value
ContentDefinition object.
Usage
The following example demonstrates how to create a definition for financial contracts CDS:
import { IPA } from '@lsegroup/data';
const definition = IPA.FinancialContracts.CDS.Definition({
instrumentTag: 'Cds1_InstrumentCode',
instrumentCode: 'BNPP5YEUAM=R',
cdsConvention: IPA.FinancialContracts.CDS.CDSConvention.ISDA,
tradeDate: '2019-05-21T00:00:00Z',
stepInDate: '2019-05-22T00:00:00Z',
startDate: '2019-05-20T00:00:00Z',
endDateMovingConvention: IPA.FinancialContracts.CDS.BusinessDayConvention.NoMoving,
adjustToIsdaEndDate: true,
accruedBeginDate: '2019-05-20T00:00:00Z',
outputs: [IPA.FinancialContracts.CDS.Output.Data, IPA.FinancialContracts.CDS.Output.Headers],
});
`