About Financial Contracts TermDeposit
A TermDeposit class allows the formation of the financial instrument from the instrument code and parameters.
IPA.FinancialContracts.TermDeposit.Definition object
This object creates the definition of information about the TermDeposit that we want to get.
Syntax
FinancialContracts.TermDeposit.Definition(params: FinancialContracts.TermDeposit.Params)
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| params | An object literal of type FinancialContracts.TermDeposit.Params. | object | No | - |
TermDeposit.Params properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| calendar | A comma-separated calendar code used to adjust dates. | string | Yes | |
| endDate | The maturity or expiry date of the instrument. The value is expressed in ISO 8601 format. | string | Yes | - |
| startDate | The start date of the instrument. The value is expressed in ISO 8601 format. | string | Yes | - |
| fixedRatePercent | The interest rate of the instrument. The value is expressed in percentages. Mandatory if no instrumentCode is defined. | number | Yes | - |
| instrumentCode | The code used to define the instrument. | string | Yes | - |
| 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 | - |
| interestCalculationMethod | The day count basis method used to calculate the interest payments (see TermDeposit.InterestCalculationMethod). | string | Yes | - |
| interestPaymentFrequency | The frequency of the interest payment (see TermDeposit.InterestPaymentFrequency). | string | Yes | - |
| notionalCcy | The currency of the instrument's notional amount. The value is expressed in ISO 4217 alphabetical format (e.g. 'USD'). | string | Yes | - |
| paymentBusinessDayConvention | The method to adjust dates to working days (see TermDeposit.BusinessDayConvention). | enum | Yes | - |
| paymentBusinessDays | A comma-separated calendar code used to adjust dates(e.g., 'EMU' or 'USA'). | string | Yes | - |
| paymentRollConvention | The method to adjust payment dates when they fall at the end of the month (e.g., 28th of February, 30th, 31st) (see TermDeposit.PaymentRollConvention). | enum | Yes | - |
| tenor | The code indicating the period between StartDate and EndDate of the instrument (e.g. '6M', '1Y'). | string | Yes | - |
| startTenor | The code indicating the period from a spot date to startDate of the instrument (e.g., '1M'). | string | Yes | - |
| yearBasis | Defines the convention for the amount of days in the year to be applied to calculate the interest rate (see TermDeposit.DayCountBasisConvention). | enum | Yes | - |
| pricingParameters | Pricing parameters to apply to the TermDeposit instrument (see TermDeposit.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 TermDeposit.Output). | enum[] | Yes | - |
| extendedParams | Additional parameters to apply to the request. | object | Yes | - |
TermDeposit.PricingParameters properties:
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| marketDataDate | The date at which the market data is retrieved. | string | Yes | - |
| priceSide | The quoted price side of the instrument (see TermDeposit.PriceSide). | enum | Yes | - |
| reportCcy | The currency code for the fields ending with 'xxxInReportCcy'. | string | Yes | - |
| valuationDate | The date at which the instrument is valued. The value is expressed in ISO 8601 format. | string | Yes | - |
Returned value
ContentDefinition object.
Usage
The following example demonstrates how to create a definition for financial contracts TermDeposit:
import { IPA } from '@lsegroup/data';
const definition = IPA.FinancialContracts.TermDeposit.Definition({
notionalCcy: 'EUR',
tenor: '5Y',
pricingParameters: { valuationDate: '2020-04-24' },
fixedRatePercent: 11,
});
`