Equity Swap Composite Basket Long Form Separate Spreads
Swaps CDM 7.2.0An equity swap on an underlying basket where separate spread are applied to the basket components.
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_TotalReturnBasicPerformance_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
- 2002-07-17
- Currency
- EUR
- 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 |
| FloatingRateIndex | observable · asset |
| FloatingRateSpecification | product · asset |
| InterestRateIndex | observable · asset |
| InterestRatePayout | product · asset |
| NonNegativeDatedValue | base · math |
| Observable | observable · asset |
| PerformancePayout | product · template |
| Security | base · staticdata · asset · common |
| TradeState | event · common |
The CDM JSON
The full canonical document — 308 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.
eqs-ex08-composite-basket-long-form-separate-spreads.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "36cb14d9",
"trade": {
"product": {
"taxonomy": [
{
"source": "Other",
"value": {
"name": {
"@data": "Equity:Swap:PriceReturnBasicPerformance:Basket"
}
}
},
{
"source": "ISDA",
"value": {
"name": {
"@data": "EquitySwap_TotalReturnBasicPerformance_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": "1c4a714",
"@ref:external": "FinalEquityPaymentDate"
}
}
},
"payout": [
{
"@type": "cdm.product.template.PerformancePayout",
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"@key:external": "EquityNotionalAmount",
"quantitySchedule": {
"@ref:scoped": "quantity-1"
},
"reset": true
},
"settlementTerms": {
"settlementType": "Cash"
},
"valuationDates": {
"interimValuationDate": {
"determinationMethod": "ValuationTime",
"valuationDates": {
"@key:external": "InterimValuationDate",
"adjustableDates": {
"unadjustedDate": [
"2002-10-17"
],
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"valuationTimeType": "Close"
},
"finalValuationDate": {
"determinationMethod": "HedgeExecution",
"valuationDate": {
"@key:external": "FinalValuationDate",
"adjustableDate": {
"unadjustedDate": "2004-01-17",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
}
}
},
"paymentDates": {
"paymentDateSchedule": {
"interimPaymentDates": [
{
"@key:external": "InterimEquityPaymentDate",
"relativeDates": {
"periodMultiplier": 3,
"period": "D",
"dayType": "CurrencyBusiness",
"businessDayConvention": "FOLLOWING",
"dateRelativeTo": {
"@ref": "252fbafc",
"@ref:external": "InterimValuationDate"
}
}
}
],
"finalPaymentDate": {
"@key:external": "FinalEquityPaymentDate",
"relativeDate": {
"periodMultiplier": 3,
"period": "D",
"dayType": "CurrencyBusiness",
"businessDayConvention": "FOLLOWING",
"businessCentersReference": {
"@ref:external": "primaryBusinessCenter"
},
"dateRelativeTo": {
"@ref": "256358bc",
"@ref:external": "FinalValuationDate"
}
}
}
}
},
"underlier": {
"@type": "cdm.observable.asset.Observable",
"@ref:scoped": "observable-1"
},
"fxFeature": [
{
"referenceCurrency": {
"@key:external": "ReferenceCurrency",
"@data": "EUR"
},
"composite": {
"determinationMethod": "CalculationAgent"
}
}
],
"returnTerms": {
"priceReturnTerms": {
"returnType": "Total"
},
"dividendReturnTerms": {
"dividendReinvestment": false,
"dividendEntitlement": "ExDate",
"excessDividendAmount": "PaidAmount",
"dividendCurrency": {
"currencyReference": {
"@ref:external": "ReferenceCurrency"
}
},
"dividendPeriod": [
{
"startDate": {
"dividendDate": {
"@ref": "3e91d1",
"@ref:external": "TradeDate"
}
},
"endDate": {
"dividendDate": {
"@ref:external": "FinalValuationDate"
}
},
"dividendPaymentDate": {
"dividendDateReference": {
"dateReference": "EquityPaymentDate"
}
}
}
]
}
}
},
{
"@type": "cdm.product.asset.InterestRatePayout",
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-1"
},
"quantityReference": {
"@ref:external": "EquityNotionalAmount"
}
},
"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": "1c4a714",
"@ref:external": "FinalEquityPaymentDate"
}
}
}
},
"paymentDates": {
"paymentDateSchedule": {
"interimPaymentDates": [
{
"relativeDates": {
"periodMultiplier": 0,
"period": "D",
"businessDayConvention": "NotApplicable",
"dateRelativeTo": {
"@ref:external": "EquityPaymentDate"
}
}
}
]
}
},
"resetDates": {
"calculationPeriodDatesReference": {
"@ref:external": "InterestLegPeriodDates"
},
"resetRelativeTo": "CalculationPeriodStartDate"
}
}
],
"calculationAgent": {
"calculationAgentParty": "CalculationAgentIndependent"
}
}
},
"tradeLot": [
{
"priceQuantity": [
{
"price": [
{
"@key:scoped": "price-2",
"value": 19785157.16,
"unit": {
"currency": {
"@data": "EUR"
}
},
"priceType": "AssetPrice",
"priceExpression": "AbsoluteTerms",
"derivedQuantity": {
"value": 19785157.16,
"unit": {
"currency": {
"@data": "EUR"
}
}
}
}
],
"observable": {
"@key:scoped": "observable-1",
"@data": {
"@type": "cdm.observable.asset.Basket",
"assetType": "Security",
"basketConstituent": [
{
"@key:scoped": "basketConstituent-1",
"observable": {
"@type": "cdm.base.staticdata.asset.common.Security",
"identifier": [
{
"identifier": {
"@scheme": "http://www.abc.com/instrumentId",
"@data": "TIT.ME"
},
"identifierType": "Other"
},
{
"identifier": {
"@data": "Telecom Italia spa"
},
"identifierType": "Name"
}
],
"isExchangeListed": true,
"party": [
{
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMIL"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMIL"
}
}
],
"partyRole": {
"partyReference": {
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMIL"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMIL"
}
},
"role": "Exchange"
},
"assetType": "Security",
"securityType": "Equity"
}
},
{
"@key:scoped": "basketConstituent-2",
"observable": {
"@type": "cdm.base.staticdata.asset.common.Security",
"identifier": [
{
"identifier": {
"@scheme": "http://www.abc.com/instrumentId",
"@data": "NOK1V.HE"
},
"identifierType": "Other"
},
{
"identifier": {
"@data": "Nokya Oyj"
},
"identifierType": "Name"
}
],
"isExchangeListed": true,
"party": [
{
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XHEL"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XHEL"
}
}
],
"partyRole": {
"partyReference": {
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XHEL"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XHEL"
}
},
"role": "Exchange"
},
"assetType": "Security",
"securityType": "Equity"
}
},
{
"@key:scoped": "basketConstituent-3",
"observable": {
"@type": "cdm.base.staticdata.asset.common.Security",
"identifier": [
{
"identifier": {
"@scheme": "http://www.abc.com/instrumentId",
"@data": "TIM.MI"
},
"identifierType": "Other"
},
{
"identifier": {
"@data": "Telecom Italia Mobile spa"
},
"identifierType": "Name"
}
],
"isExchangeListed": true,
"party": [
{
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMIL"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMIL"
}
}
],
"partyRole": {
"partyReference": {
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMIL"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMIL"
}
},
"role": "Exchange"
},
"assetType": "Security",
"securityType": "Equity"
}
},
{
"@key:scoped": "basketConstituent-4",
"observable": {
"@type": "cdm.base.staticdata.asset.common.Security",
"identifier": [
{
"identifier": {
"@scheme": "http://www.abc.com/instrumentId",
"@data": "TEF.MC"
},
"identifierType": "Other"
},
{
"identifier": {
"@data": "Telefonica de Espana"
},
"identifierType": "Name"
}
],
"isExchangeListed": true,
"party": [
{
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMAD"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMAD"
}
}
],
"partyRole": {
"partyReference": {
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMAD"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XMAD"
}
},
"role": "Exchange"
},
"assetType": "Security",
"securityType": "Equity"
}
},
{
"@key:scoped": "basketConstituent-5",
"observable": {
"@type": "cdm.base.staticdata.asset.common.Security",
"identifier": [
{
"identifier": {
"@scheme": "http://www.abc.com/instrumentId",
"@data": "PTCO.IN"
},
"identifierType": "Other"
},
{
"identifier": {
"@data": "Portugal Telecom SA"
},
"identifierType": "Name"
}
],
"isExchangeListed": true,
"party": [
{
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XCVM"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XCVM"
}
}
],
"partyRole": {
"partyReference": {
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XCVM"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XCVM"
}
},
"role": "Exchange"
},
"assetType": "Security",
"securityType": "Equity"
}
},
{
"@key:scoped": "basketConstituent-6",
"observable": {
"@type": "cdm.base.staticdata.asset.common.Security",
"identifier": [
{
"identifier": {
"@scheme": "http://www.abc.com/instrumentId",
"@data": "VOD.L"
},
"identifierType": "Other"
},
{
"identifier": {
"@data": "Vodafone Group"
},
"identifierType": "Name"
}
],
"isExchangeListed": true,
"party": [
{
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XLON"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XLON"
}
}
],
"partyRole": {
"partyReference": {
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XLON"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XLON"
}
},
"role": "Exchange"
},
"assetType": "Security",
"securityType": "Equity"
}
}
]
}
}
},
{
"price": [
{
"@key:scoped": "price-1",
"value": 0.005,
"unit": {
"currency": {
"@data": "EUR"
}
},
"perUnitOf": {
"currency": {
"@data": "EUR"
}
},
"priceType": "InterestRate",
"arithmeticOperator": "Add"
},
{
"@key:scoped": "price-1",
"value": 0.005,
"datedValue": [
{
"date": "2002-03-17",
"value": 0.0055,
"@type": "cdm.base.math.NonNegativeDatedValue"
}
],
"unit": {
"currency": {
"@data": "EUR"
}
},
"perUnitOf": {
"currency": {
"@data": "EUR"
}
},
"priceType": "InterestRate",
"arithmeticOperator": "Add"
},
{
"@key:scoped": "price-1",
"value": 0.005,
"unit": {
"currency": {
"@data": "EUR"
}
},
"perUnitOf": {
"currency": {
"@data": "EUR"
}
},
"priceType": "InterestRate",
"arithmeticOperator": "Add"
},
{
"@key:scoped": "price-1",
"value": 0.005,
"datedValue": [
{
"date": "2002-04-17",
"value": 0.0042,
"@type": "cdm.base.math.NonNegativeDatedValue"
}
],
"unit": {
"currency": {
"@data": "EUR"
}
},
"perUnitOf": {
"currency": {
"@data": "EUR"
}
},
"priceType": "InterestRate",
"arithmeticOperator": "Add"
},
{
"@key:scoped": "price-1",
"value": 0.005,
"datedValue": [
{
"date": "2002-03-20",
"value": 0.0065,
"@type": "cdm.base.math.NonNegativeDatedValue"
}
],
"unit": {
"currency": {
"@data": "EUR"
}
},
"perUnitOf": {
"currency": {
"@data": "EUR"
}
},
"priceType": "InterestRate",
"arithmeticOperator": "Add"
},
{
"@key:scoped": "price-1",
"value": 0.005,
"datedValue": [
{
"date": "2002-02-22",
"value": 0.0022,
"@type": "cdm.base.math.NonNegativeDatedValue"
}
],
"unit": {
"currency": {
"@data": "EUR"
}
},
"perUnitOf": {
"currency": {
"@data": "EUR"
}
},
"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": "EUR-EURIBOR-Telerate"
},
"identifierType": "Other"
}
],
"assetType": "Other",
"assetClass": "InterestRate",
"floatingRateIndex": {
"@data": "EUR-EURIBOR-Telerate"
},
"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": "Execution",
"tradeIdentifier": [
{
"issuerReference": {
"@ref:external": "party1"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.partyA.com/eqs-trade-id",
"@data": "1245"
}
}
]
},
{
"issuerReference": {
"@ref:external": "party2"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.partyB.com/eqs-trade-id",
"@data": "4569"
}
}
]
}
],
"tradeDate": {
"@key:external": "TradeDate",
"@data": "2002-07-17"
},
"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"
}
}
}
}Open this product
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