Equity Swap Index Quanto Long Form
Swaps CDM 7.2.0An equity swap with payment in a currency other than the reference obligation.
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 |
|---|---|---|
| Other | Equity:Swap:PriceReturnBasicPerformance:Basket | Asserted |
| ISDA | EquitySwap_PriceReturnBasicPerformance_Basket | 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
- 2002-07-19
- Currencies
- EUR, HKD, 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 |
|---|---|
| Basket | observable · asset |
| EquityIndex | observable · asset |
| FloatingRateIndex | observable · asset |
| FloatingRateSpecification | product · asset |
| InterestRateIndex | observable · asset |
| InterestRatePayout | product · asset |
| Observable | observable · asset |
| PerformancePayout | product · template |
| TradeState | event · common |
The CDM JSON
The full canonical document — 223 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.
Published for CDM 7 and CDM 6 — the two differ in more
than formatting, so each is the document as that release publishes it. The summary
above is read from the CDM 7 document.
eqs-ex03-index-quanto-long-form.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "7fd3cc06",
"trade": {
"product": {
"taxonomy": [
{
"source": "Other",
"value": {
"name": {
"@data": "Equity:Swap:PriceReturnBasicPerformance:Basket"
}
}
},
{
"source": "ISDA",
"value": {
"name": {
"@data": "EquitySwap_PriceReturnBasicPerformance_Basket"
}
},
"calculated": true
}
],
"economicTerms": {
"effectiveDate": {
"@key:external": "EffectiveDate",
"relativeDate": {
"periodMultiplier": 3,
"period": "D",
"dayType": "ExchangeBusiness",
"businessDayConvention": "NotApplicable",
"dateRelativeTo": {
"@ref:external": "TradeDate"
}
}
},
"terminationDate": {
"@key:external": "TerminationDate",
"relativeDate": {
"periodMultiplier": 0,
"period": "D",
"businessDayConvention": "NotApplicable",
"dateRelativeTo": {
"@ref": "bb917ef4",
"@ref:external": "ReturnLegFinalPaymentDate"
}
}
},
"payout": [
{
"@type": "cdm.product.template.PerformancePayout",
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"@key:external": "NotionalAmount",
"quantitySchedule": {
"@ref:scoped": "quantity-1"
},
"reset": true
},
"settlementTerms": {
"settlementType": "Cash"
},
"valuationDates": {
"interimValuationDate": {
"determinationMethod": "ValuationTime",
"valuationDates": {
"@key:external": "InterimValuationDate",
"adjustableDates": {
"unadjustedDate": [
"2002-10-21",
"2004-01-20",
"2004-04-22"
],
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"valuationTimeType": "Close"
},
"finalValuationDate": {
"determinationMethod": "HedgeExecution",
"valuationDate": {
"@key:external": "FinalValuationDate",
"adjustableDate": {
"unadjustedDate": "2004-07-21",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
}
}
},
"paymentDates": {
"paymentDateSchedule": {
"interimPaymentDates": [
{
"@key:external": "ReturnLegInterimPaymentDate",
"relativeDates": {
"periodMultiplier": 3,
"period": "D",
"dayType": "CurrencyBusiness",
"businessDayConvention": "FOLLOWING",
"dateRelativeTo": {
"@ref": "60230b82",
"@ref:external": "InterimValuationDate"
}
}
}
],
"finalPaymentDate": {
"@key:external": "ReturnLegFinalPaymentDate",
"relativeDate": {
"periodMultiplier": 3,
"period": "D",
"dayType": "CurrencyBusiness",
"businessDayConvention": "FOLLOWING",
"businessCentersReference": {
"@ref:external": "PrimaryBusinessCenter"
},
"dateRelativeTo": {
"@ref": "25690940",
"@ref:external": "FinalValuationDate"
}
}
}
}
},
"underlier": {
"@type": "cdm.observable.asset.Observable",
"@ref:scoped": "observable-1"
},
"fxFeature": [
{
"referenceCurrency": {
"@key:external": "ReferenceCurrency",
"@data": "USD"
},
"quanto": {
"fxRate": [
{
"quotedCurrencyPair": {
"currency1": {
"@data": "USD"
},
"currency2": {
"@data": "EUR"
},
"quoteBasis": "Currency2PerCurrency1"
},
"rate": 0.9914
},
{
"quotedCurrencyPair": {
"currency1": {
"@data": "USD"
},
"currency2": {
"@data": "HKD"
},
"quoteBasis": "Currency2PerCurrency1"
},
"rate": 7.8
}
]
}
}
],
"returnTerms": {
"priceReturnTerms": {
"returnType": "Price"
}
}
},
{
"@type": "cdm.product.asset.InterestRatePayout",
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-1"
},
"quantityReference": {
"@ref:external": "NotionalAmount"
}
},
"rateSpecification": {
"@type": "cdm.product.asset.FloatingRateSpecification",
"rateOption": {
"@ref:scoped": "InterestRateIndex-1"
},
"spreadSchedule": {
"price": {
"@ref:scoped": "price-1"
}
}
},
"dayCountFraction": {
"@data": "ACT/360"
},
"calculationPeriodDates": {
"@key:external": "InterestLegPeriodDates",
"effectiveDate": {
"relativeDate": {
"periodMultiplier": 3,
"period": "D",
"dayType": "ExchangeBusiness",
"businessDayConvention": "NotApplicable",
"dateRelativeTo": {
"@ref:external": "TradeDate"
}
}
},
"terminationDate": {
"relativeDate": {
"periodMultiplier": 0,
"period": "D",
"businessDayConvention": "NotApplicable",
"dateRelativeTo": {
"@ref": "bb917ef4",
"@ref:external": "ReturnLegFinalPaymentDate"
}
}
}
},
"paymentDates": {
"paymentDateSchedule": {
"interimPaymentDates": [
{
"relativeDates": {
"periodMultiplier": 0,
"period": "D",
"businessDayConvention": "NotApplicable",
"dateRelativeTo": {
"@ref:external": "ReturnLegPaymentDate"
}
}
}
]
}
},
"resetDates": {
"calculationPeriodDatesReference": {
"@ref:external": "InterestLegPeriodDates"
},
"resetRelativeTo": "CalculationPeriodStartDate"
}
}
],
"calculationAgent": {
"calculationAgentParty": "CalculationAgentIndependent"
}
}
},
"tradeLot": [
{
"priceQuantity": [
{
"price": [
{
"@key:scoped": "price-2",
"value": 5591987.41,
"unit": {
"currency": {
"@data": "USD"
}
},
"priceType": "AssetPrice",
"priceExpression": "AbsoluteTerms",
"derivedQuantity": {
"value": 5591987.41,
"unit": {
"currency": {
"@data": "USD"
}
}
}
}
],
"observable": {
"@key:scoped": "observable-1",
"@data": {
"@type": "cdm.observable.asset.Basket",
"assetType": "Security",
"basketConstituent": [
{
"@key:scoped": "basketConstituent-1",
"observable": {
"@type": "cdm.observable.asset.EquityIndex",
"identifier": [
{
"identifier": {
"@scheme": "http://www.abc.com/instrumentId",
"@data": ".FCHI"
},
"identifierType": "Other"
},
{
"identifier": {
"@data": "France CAC 40 Index"
},
"identifierType": "Name"
}
],
"isExchangeListed": true,
"party": [
{
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XPAR"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XPAR"
}
}
],
"partyRole": {
"partyReference": {
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XPAR"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XPAR"
}
},
"role": "Exchange"
},
"ancillaryPartyRole": [
{
"partyReference": {
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMAT"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMAT"
}
},
"role": "RelatedExchange"
},
{
"partyReference": {
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMON"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMON"
}
},
"role": "RelatedExchange"
}
],
"assetType": "Other",
"name": {
"@data": "France CAC 40 Index"
},
"assetClass": "Equity"
}
},
{
"@key:scoped": "basketConstituent-2",
"observable": {
"@type": "cdm.observable.asset.EquityIndex",
"identifier": [
{
"identifier": {
"@scheme": "http://www.abc.com/instrumentId",
"@data": ".IBEX"
},
"identifierType": "Other"
},
{
"identifier": {
"@data": "IBEX 35"
},
"identifierType": "Name"
}
],
"isExchangeListed": true,
"party": [
{
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMEF"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMEF"
}
}
],
"partyRole": {
"partyReference": {
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMEF"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMEF"
}
},
"role": "Exchange"
},
"assetType": "Other",
"name": {
"@data": "IBEX 35"
},
"assetClass": "Equity"
}
},
{
"@key:scoped": "basketConstituent-3",
"observable": {
"@type": "cdm.observable.asset.EquityIndex",
"identifier": [
{
"identifier": {
"@scheme": "http://www.abc.com/instrumentId",
"@data": ".HSI"
},
"identifierType": "Other"
},
{
"identifier": {
"@data": "Hong Kong Hang Seng Index"
},
"identifierType": "Name"
}
],
"isExchangeListed": true,
"party": [
{
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XHKG"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XHKG"
}
}
],
"partyRole": {
"partyReference": {
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XHKG"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XHKG"
}
},
"role": "Exchange"
},
"assetType": "Other",
"name": {
"@data": "Hong Kong Hang Seng Index"
},
"assetClass": "Equity"
}
}
]
}
}
},
{
"price": [
{
"@key:scoped": "price-1",
"value": -0.0022,
"unit": {
"currency": {
"@data": "USD"
}
},
"perUnitOf": {
"currency": {
"@data": "USD"
}
},
"priceType": "InterestRate",
"arithmeticOperator": "Add"
}
],
"observable": {
"@key:scoped": "observable-2",
"@data": {
"@type": "cdm.observable.asset.InterestRateIndex",
"@key:scoped": "InterestRateIndex-1",
"@data": {
"@type": "cdm.observable.asset.FloatingRateIndex",
"identifier": [
{
"identifier": {
"@data": "USD-LIBOR-BBA"
},
"identifierType": "Other"
}
],
"assetType": "Other",
"assetClass": "InterestRate",
"floatingRateIndex": {
"@data": "USD-LIBOR-BBA"
},
"indexTenor": {
"periodMultiplier": 3,
"period": "M"
}
}
}
}
}
]
}
],
"counterparty": [
{
"role": "Party1",
"partyReference": {
"@ref:external": "party1"
}
},
{
"role": "Party2",
"partyReference": {
"@ref:external": "party2"
}
}
],
"ancillaryParty": [
{
"role": "CalculationAgentIndependent",
"partyReference": [
{
"@ref:external": "party1"
}
]
}
],
"adjustment": "Standard",
"tradeIdentifier": [
{
"issuerReference": {
"@ref:external": "party1"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.partyA.com/eqs-trade-id",
"@data": "1734"
}
}
]
},
{
"issuerReference": {
"@ref:external": "party2"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.partyB.com/eqs-trade-id",
"@data": "5648"
}
}
]
}
],
"tradeDate": {
"@key:external": "TradeDate",
"@data": "2002-07-19"
},
"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"
}
}
]
}
],
"contractDetails": {
"documentation": [
{
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "MasterAgreement",
"masterAgreementType": {
"@data": "ISDAMaster"
}
},
"vintage": 2002
},
"contractualParty": [
{
"@ref:external": "party1"
},
{
"@ref:external": "party2"
}
]
},
{
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "Confirmation",
"contractualDefinitionsType": [
{
"@data": "ISDA2000"
},
{
"@data": "ISDA2002EquityDerivatives"
}
]
}
},
"contractualParty": [
{
"@ref:external": "party1"
},
{
"@ref:external": "party2"
}
]
}
],
"governingLaw": {
"@data": "GBEN"
}
}
}
} eqs-ex03-index-quanto-long-form.json Download
{
"trade": {
"product": {
"taxonomy": [
{
"source": "Other",
"value": {
"name": {
"value": "Equity:Swap:PriceReturnBasicPerformance:Basket"
}
}
},
{
"source": "ISDA",
"productQualifier": "EquitySwap_PriceReturnBasicPerformance_Basket"
}
],
"economicTerms": {
"effectiveDate": {
"relativeDate": {
"periodMultiplier": 3,
"period": "D",
"meta": {
"globalKey": "fed6ed42"
},
"dayType": "ExchangeBusiness",
"businessDayConvention": "NotApplicable",
"dateRelativeTo": {
"globalReference": "3e91d3",
"externalReference": "TradeDate"
}
},
"meta": {
"globalKey": "fed6ed42",
"externalKey": "EffectiveDate"
}
},
"terminationDate": {
"relativeDate": {
"periodMultiplier": 0,
"period": "D",
"meta": {
"globalKey": "23d29d63"
},
"businessDayConvention": "NotApplicable",
"dateRelativeTo": {
"globalReference": "bb917ef4",
"externalReference": "ReturnLegFinalPaymentDate"
}
},
"meta": {
"globalKey": "23d29d63",
"externalKey": "TerminationDate"
}
},
"payout": [
{
"PerformancePayout": {
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"quantitySchedule": {
"address": {
"scope": "DOCUMENT",
"value": "quantity-1"
}
},
"reset": true,
"meta": {
"globalKey": "4cf",
"externalKey": "NotionalAmount"
}
},
"settlementTerms": {
"settlementType": "Cash",
"meta": {
"globalKey": "1f7333"
}
},
"valuationDates": {
"interimValuationDate": {
"determinationMethod": "ValuationTime",
"valuationDates": {
"adjustableDates": {
"unadjustedDate": [
"2002-10-21",
"2004-01-20",
"2004-04-22"
],
"dateAdjustments": {
"businessDayConvention": "NotApplicable",
"meta": {
"globalKey": "3a4b88ab"
}
},
"meta": {
"globalKey": "60230b82"
}
},
"meta": {
"globalKey": "60230b82",
"externalKey": "InterimValuationDate"
}
},
"valuationTimeType": "Close",
"meta": {
"globalKey": "47c5c201"
}
},
"finalValuationDate": {
"determinationMethod": "HedgeExecution",
"valuationDate": {
"adjustableDate": {
"unadjustedDate": "2004-07-21",
"dateAdjustments": {
"businessDayConvention": "NotApplicable",
"meta": {
"globalKey": "3a4b88ab"
}
},
"meta": {
"globalKey": "25690940"
}
},
"meta": {
"globalKey": "25690940",
"externalKey": "FinalValuationDate"
}
},
"meta": {
"globalKey": "97348ac2"
}
}
},
"paymentDates": {
"paymentDateSchedule": {
"interimPaymentDates": [
{
"relativeDates": {
"periodMultiplier": 3,
"period": "D",
"meta": {
"globalKey": "bc36cf4"
},
"dayType": "CurrencyBusiness",
"businessDayConvention": "FOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "EUTA"
},
{
"value": "HKHK"
}
],
"meta": {
"globalKey": "41619c9",
"externalKey": "PrimaryBusinessCenter"
}
},
"dateRelativeTo": {
"globalReference": "60230b82",
"externalReference": "InterimValuationDate"
}
},
"meta": {
"globalKey": "bc36cf4",
"externalKey": "ReturnLegInterimPaymentDate"
}
}
],
"finalPaymentDate": {
"relativeDate": {
"periodMultiplier": 3,
"period": "D",
"meta": {
"globalKey": "bb917ef4"
},
"dayType": "CurrencyBusiness",
"businessDayConvention": "FOLLOWING",
"businessCentersReference": {
"globalReference": "41619c9",
"externalReference": "PrimaryBusinessCenter"
},
"dateRelativeTo": {
"globalReference": "25690940",
"externalReference": "FinalValuationDate"
}
},
"meta": {
"globalKey": "bb917ef4",
"externalKey": "ReturnLegFinalPaymentDate"
}
}
},
"meta": {
"globalKey": "94f84ae8"
}
},
"underlier": {
"Observable": {
"address": {
"scope": "DOCUMENT",
"value": "observable-1"
}
}
},
"fxFeature": [
{
"referenceCurrency": {
"value": "USD",
"meta": {
"globalKey": "14966",
"externalKey": "ReferenceCurrency"
}
},
"quanto": {
"fxRate": [
{
"quotedCurrencyPair": {
"currency1": {
"value": "USD"
},
"currency2": {
"value": "EUR"
},
"quoteBasis": "Currency2PerCurrency1"
},
"rate": 0.9914
},
{
"quotedCurrencyPair": {
"currency1": {
"value": "USD"
},
"currency2": {
"value": "HKD"
},
"quoteBasis": "Currency2PerCurrency1"
},
"rate": 7.8
}
]
}
}
],
"returnTerms": {
"priceReturnTerms": {
"returnType": "Price"
}
}
},
"meta": {
"globalKey": "9db0316e"
}
},
{
"InterestRatePayout": {
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantitySchedule": {
"address": {
"scope": "DOCUMENT",
"value": "quantity-1"
}
},
"quantityReference": {
"globalReference": "4cf",
"externalReference": "NotionalAmount"
},
"meta": {
"globalKey": "8e817bd8"
}
},
"rateSpecification": {
"FloatingRateSpecification": {
"rateOption": {
"address": {
"scope": "DOCUMENT",
"value": "InterestRateIndex-1"
}
},
"spreadSchedule": {
"price": {
"address": {
"scope": "DOCUMENT",
"value": "price-1"
}
}
},
"meta": {
"globalKey": "0"
}
}
},
"dayCountFraction": {
"value": "ACT/360"
},
"calculationPeriodDates": {
"effectiveDate": {
"relativeDate": {
"periodMultiplier": 3,
"period": "D",
"meta": {
"globalKey": "fed6ed42"
},
"dayType": "ExchangeBusiness",
"businessDayConvention": "NotApplicable",
"dateRelativeTo": {
"globalReference": "3e91d3",
"externalReference": "TradeDate"
}
},
"meta": {
"globalKey": "fed6ed42"
}
},
"terminationDate": {
"relativeDate": {
"periodMultiplier": 0,
"period": "D",
"meta": {
"globalKey": "23d29d63"
},
"businessDayConvention": "NotApplicable",
"dateRelativeTo": {
"globalReference": "bb917ef4",
"externalReference": "ReturnLegFinalPaymentDate"
}
},
"meta": {
"globalKey": "23d29d63"
}
},
"meta": {
"globalKey": "26d4a1e1",
"externalKey": "InterestLegPeriodDates"
}
},
"paymentDates": {
"paymentDateSchedule": {
"interimPaymentDates": [
{
"relativeDates": {
"periodMultiplier": 0,
"period": "D",
"meta": {
"globalKey": "7248507d"
},
"businessDayConvention": "NotApplicable",
"dateRelativeTo": {
"externalReference": "ReturnLegPaymentDate"
}
},
"meta": {
"globalKey": "7248507d"
}
}
]
},
"meta": {
"globalKey": "7248507d"
}
},
"resetDates": {
"calculationPeriodDatesReference": {
"globalReference": "26d4a1e1",
"externalReference": "InterestLegPeriodDates"
},
"resetRelativeTo": "CalculationPeriodStartDate",
"meta": {
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}Open this product
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