CDS iTraxx Index Option
Swaptions CDM 7.2.0A type of option on a CDS iTraxx index.
Asset class Credit
Payouts OptionPayout
Provenance As published by FINOS
Trader spec Not yet written
Classification
How the product classifies itself. Values marked calculated were produced by the CDM's own qualification functions rather than asserted by the sender.
| Scheme | Qualifier | Source |
|---|---|---|
| ISDA | CreditDefaultSwaption | Calculated by CDM |
Economics in this example
Read out of the example itself. These are the values FINOS published, not a recommendation — use the example for structure, not for market data.
- Trade date
- 2006-01-16
- Currencies
- EUR, USD
- Parties
- 2
- Roles
- Party1, Party2
CDM types used
Every type this product instantiates. Each one links to its entry in the model reference, so you can see the attributes and conditions behind it.
| Type | Namespace |
|---|---|
| Cash | base · staticdata · asset · common |
| CreditDefaultPayout | product · asset |
| FixedRateSpecification | product · asset |
| InterestRatePayout | product · asset |
| NonTransferableProduct | product · template |
| OptionPayout | product · template |
| TradeState | event · common |
| UnscheduledTransfer | event · common |
The CDM JSON
The full canonical document — 133 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.
itraxx-index-option.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "fffb5df2",
"trade": {
"product": {
"taxonomy": [
{
"source": "ISDA",
"value": {
"name": {
"@data": "CreditDefaultSwaption"
}
},
"calculated": true
}
],
"economicTerms": {
"payout": [
{
"@type": "cdm.product.template.OptionPayout",
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantityReference": {
"@ref:external": "NOTIONAL"
}
},
"settlementTerms": {
"settlementType": "Physical"
},
"buyerSeller": {
"buyer": "Party1",
"seller": "Party2"
},
"underlier": {
"@type": "cdm.product.template.NonTransferableProduct",
"taxonomy": [
{
"source": "ISDA",
"value": {
"name": {
"@data": "CreditDefaultSwap_Index"
}
},
"calculated": true
}
],
"economicTerms": {
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2006-03-20",
"dateAdjustments": {
"businessDayConvention": "NONE"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2011-06-20",
"dateAdjustments": {
"businessDayConvention": "NONE"
}
}
},
"dateAdjustments": {
"businessDayConvention": "NONE"
},
"payout": [
{
"@type": "cdm.product.asset.CreditDefaultPayout",
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"@key:external": "NOTIONAL",
"quantitySchedule": {
"@ref:scoped": "quantity-1"
}
},
"settlementTerms": {
"settlementType": "Physical",
"settlementCurrency": {
"@data": "USD"
},
"physicalSettlementTerms": {
"physicalSettlementPeriod": {
"maximumBusinessDays": 30
},
"deliverableObligations": {
"accruedInterest": false,
"category": "BondOrLoan",
"notSubordinated": true,
"notContingent": true,
"assignableLoan": {
"applicable": true
},
"consentRequiredLoan": {
"applicable": true
},
"transferable": true,
"maximumMaturity": {
"periodMultiplier": 30,
"period": "Y"
},
"notBearer": true
},
"escrow": true
}
},
"generalTerms": {
"indexReferenceInformation": {
"identifier": [
{
"identifier": {
"@data": "Dow Jones iTraxx Europe Consumers Series 2 Version 1"
},
"identifierType": "Name"
}
],
"assetType": "Other",
"name": {
"@data": "Dow Jones iTraxx Europe Consumers Series 2 Version 1"
},
"assetClass": "Credit",
"indexSeries": 2,
"indexAnnexVersion": 1,
"indexAnnexDate": "2006-11-01",
"indexAnnexSource": {
"@data": "Publisher"
},
"excludedReferenceEntity": [
{
"referenceEntity": {
"name": {
"@data": "TESCO PLC"
}
}
}
]
}
},
"protectionTerms": [
{
"creditEvents": {
"bankruptcy": true,
"failureToPay": {
"applicable": true,
"paymentRequirement": {
"value": 1000000,
"unit": {
"currency": {
"@data": "USD"
}
}
}
},
"creditEventNotice": {
"notifyingParty": [
"Party2",
"Party1"
],
"publiclyAvailableInformation": {
"specifiedNumber": 2
}
}
},
"obligations": {
"category": "BorrowedMoney"
}
}
]
},
{
"@type": "cdm.product.asset.InterestRatePayout",
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-2"
}
},
"rateSpecification": {
"@type": "cdm.product.asset.FixedRateSpecification",
"rateSchedule": {
"price": {
"@ref:scoped": "price-1"
}
}
},
"dayCountFraction": {
"@data": "ACT/360"
},
"calculationPeriodDates": {
"calculationPeriodFrequency": {
"periodMultiplier": 3,
"period": "M",
"rollConvention": "20"
}
},
"paymentDates": {
"paymentFrequency": {
"periodMultiplier": 3,
"period": "M"
},
"firstPaymentDate": "2007-03-20",
"lastRegularPaymentDate": "2011-03-20"
}
}
]
}
},
"optionType": "Receiver",
"exerciseTerms": {
"style": "European",
"expirationDate": [
{
"adjustableDate": {
"unadjustedDate": "2006-12-20",
"dateAdjustments": {
"businessDayConvention": "FOLLOWING"
}
}
}
],
"earliestExerciseTime": {
"hourMinuteTime": "09:00:00",
"businessCenter": {
"@data": "GBLO"
}
},
"expirationTime": {
"hourMinuteTime": "16:00:00",
"businessCenter": {
"@data": "GBLO"
}
},
"expirationTimeType": "SpecificTime",
"exerciseProcedure": {
"followUpConfirmation": true
}
},
"strike": {
"strikePrice": {
"value": 0.004,
"unit": {
"currency": {
"@data": "EUR"
}
},
"perUnitOf": {
"currency": {
"@data": "EUR"
}
},
"priceType": "InterestRate",
"arithmeticOperator": "Add"
}
}
}
],
"calculationAgent": {
"calculationAgentParty": "CalculationAgentIndependent"
}
}
},
"tradeLot": [
{
"priceQuantity": [
{
"price": [
{
"@key:scoped": "price-1",
"value": 0.004,
"unit": {
"currency": {
"@data": "EUR"
}
},
"perUnitOf": {
"currency": {
"@data": "EUR"
}
},
"priceType": "InterestRate"
}
],
"quantity": {
"@key:scoped": "quantity-2",
"value": 250000000,
"unit": {
"currency": {
"@data": "EUR"
}
}
}
},
{
"quantity": {
"@key:scoped": "quantity-1",
"value": 250000000,
"unit": {
"currency": {
"@data": "EUR"
}
}
}
}
]
}
],
"counterparty": [
{
"role": "Party1",
"partyReference": {
"@ref:external": "Party2"
}
},
{
"role": "Party2",
"partyReference": {
"@ref:external": "Party1"
}
}
],
"ancillaryParty": [
{
"role": "CalculationAgentIndependent",
"partyReference": [
{
"@ref:external": "Party1"
}
]
}
],
"tradeIdentifier": [
{
"issuerReference": {
"@ref:external": "Party1"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.PartyA.com/coding-scheme/trade-id",
"@data": "Trade234"
}
}
]
}
],
"tradeDate": {
"@key:external": "TRADEDATE",
"@data": "2006-01-16"
},
"party": [
{
"@key:external": "Party1",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
"@data": "Party A"
}
}
]
},
{
"@key:external": "Party2",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
"@data": "Party B"
}
}
]
}
]
},
"transferHistory": [
{
"transfer": {
"@type": "cdm.event.common.UnscheduledTransfer",
"quantity": {
"value": 600000,
"unit": {
"currency": {
"@data": "EUR"
}
}
},
"asset": {
"@type": "cdm.base.staticdata.asset.common.Cash",
"identifier": [
{
"identifier": {
"@data": "EUR"
},
"identifierType": "CurrencyCode"
}
],
"assetType": "Cash"
},
"settlementDate": {
"relativeDate": {
"periodMultiplier": 3,
"period": "D",
"dayType": "Business",
"businessDayConvention": "NONE",
"dateRelativeTo": {
"@ref:external": "TRADEDATE"
}
}
},
"payerReceiver": {
"payerPartyReference": {
"@ref:external": "Party2"
},
"receiverPartyReference": {
"@ref:external": "Party1"
}
},
"transferType": "Premium"
}
}
]
}Open this product
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