Equity Swap Short Form Interestleg Driving Schedule Dates
Swaps CDM 7.2.0An equity swap where the interest rate leg drives the schedule.
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 | EquitySwap_PriceReturnBasicPerformance_SingleName | 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
- 2008-06-02
- Effective date
- 2008-06-04
- Termination date
- 2009-06-04
- Day count fraction
- ACT/360
- 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 |
|---|---|
| FloatingRateIndex | observable · asset |
| FloatingRateSpecification | product · asset |
| InterestRateIndex | observable · asset |
| InterestRatePayout | product · asset |
| Observable | observable · asset |
| PerformancePayout | product · template |
| Security | base · staticdata · asset · common |
| TradeState | event · common |
The CDM JSON
The full canonical document — 130 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-ex10-short-form-interestLeg-driving-schedule-dates.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "3ec903c9",
"trade": {
"product": {
"taxonomy": [
{
"source": "ISDA",
"value": {
"name": {
"@data": "EquitySwap_PriceReturnBasicPerformance_SingleName"
}
},
"calculated": true
}
],
"economicTerms": {
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2008-06-02",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2008-06-04",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"payout": [
{
"@type": "cdm.product.asset.InterestRatePayout",
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-1"
},
"quantityReference": {
"@ref:external": "equityNotionalAmount"
}
},
"rateSpecification": {
"@type": "cdm.product.asset.FloatingRateSpecification",
"rateOption": {
"@ref:scoped": "InterestRateIndex-1"
}
},
"dayCountFraction": {
"@data": "ACT/360"
},
"calculationPeriodDates": {
"@key:external": "interestCalcPeriodDates",
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2008-06-04",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2009-06-04",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
}
}
},
"paymentDates": {
"@key:external": "interestLegPaymentDates",
"paymentDateSchedule": {
"interimPaymentDates": [
{
"@key:external": "interestLegPaymentDates",
"periodicDates": {
"startDate": {
"adjustableDate": {
"unadjustedDate": "2008-06-04",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
}
},
"periodFrequency": {
"periodMultiplier": 1,
"period": "M",
"rollConvention": "4"
},
"periodDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
}
}
]
}
},
"resetDates": {
"calculationPeriodDatesReference": {
"@ref:external": "interestCalcPeriodDates"
},
"resetFrequency": {
"periodMultiplier": 1,
"period": "M"
}
}
},
{
"@type": "cdm.product.template.PerformancePayout",
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"@key:external": "equityNotionalAmount",
"quantitySchedule": {
"@ref:scoped": "quantity-1"
},
"reset": true
},
"settlementTerms": {
"settlementType": "Cash",
"settlementCurrency": {
"@data": "EUR"
}
},
"valuationDates": {
"interimValuationDate": {
"determinationMethod": "ValuationTime",
"valuationDates": {
"@key:external": "interimValuationDate",
"relativeDates": {
"periodMultiplier": -2,
"period": "D",
"businessDayConvention": "PRECEDING",
"dateRelativeTo": {
"@ref": "c5781c6b",
"@ref:external": "interestLegPaymentDates"
}
}
}
},
"finalValuationDate": {
"determinationMethod": "HedgeExecution",
"valuationDate": {
"@key:external": "finalValuationDate",
"adjustableDate": {
"unadjustedDate": "2009-06-02",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
}
}
},
"paymentDates": {
"paymentDateSchedule": {
"interimPaymentDates": [
{
"relativeDates": {
"periodMultiplier": 2,
"period": "D",
"dayType": "CurrencyBusiness",
"businessDayConvention": "FOLLOWING",
"dateRelativeTo": {
"@ref": "3c7152e0",
"@ref:external": "interimValuationDate"
}
}
}
],
"finalPaymentDate": {
"relativeDate": {
"periodMultiplier": 2,
"period": "D",
"dayType": "CurrencyBusiness",
"businessDayConvention": "FOLLOWING",
"dateRelativeTo": {
"@ref": "25fdf9ad",
"@ref:external": "finalValuationDate"
}
}
}
}
},
"underlier": {
"@type": "cdm.observable.asset.Observable",
"@ref:scoped": "observable-1"
},
"returnTerms": {
"priceReturnTerms": {
"returnType": "Price"
}
}
}
]
}
},
"tradeLot": [
{
"priceQuantity": [
{
"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-Reuters"
},
"identifierType": "Other"
}
],
"assetType": "Other",
"assetClass": "InterestRate",
"floatingRateIndex": {
"@data": "EUR-EURIBOR-Reuters"
},
"indexTenor": {
"periodMultiplier": 1,
"period": "M"
}
}
}
}
},
{
"price": [
{
"@key:scoped": "price-1",
"value": 10,
"unit": {
"currency": {
"@data": "EUR"
}
},
"perUnitOf": {
"financialUnit": "Share"
},
"priceType": "AssetPrice",
"priceExpression": "AbsoluteTerms",
"derivedQuantity": {
"value": 300000,
"unit": {
"currency": {
"@data": "EUR"
}
}
}
}
],
"observable": {
"@key:scoped": "observable-1",
"@data": {
"@type": "cdm.base.staticdata.asset.common.Security",
"identifier": [
{
"identifier": {
"@scheme": "http://www.abc.com/instrument-id-Reuters-RIC-1-0",
"@data": "PHGe.AS"
},
"identifierType": "RIC"
},
{
"identifier": {
"@scheme": "http://www.abc.com/instrument-id-ISIN-1-0",
"@data": "NL0000009322"
},
"identifierType": "ISIN"
},
{
"identifier": {
"@data": "PHILIPS BUY BACK ORD"
},
"identifierType": "Name"
}
],
"isExchangeListed": true,
"party": [
{
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XAMS"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XAMS"
}
}
],
"partyRole": {
"partyReference": {
"partyId": [
{
"identifier": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XAMS"
}
}
],
"name": {
"@scheme": "http://www.abc.com/exchangeId",
"@data": "XAMS"
}
},
"role": "Exchange"
},
"assetType": "Security",
"securityType": "Equity"
}
}
}
]
}
],
"counterparty": [
{
"role": "Party1",
"partyReference": {
"@ref:external": "party1"
}
},
{
"role": "Party2",
"partyReference": {
"@ref:external": "party2"
}
}
],
"adjustment": "Standard",
"tradeIdentifier": [
{
"issuerReference": {
"@ref:external": "party1"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.swapswire.com/spec/2001/trade-id",
"@data": "124897"
}
}
]
},
{
"issuerReference": {
"@ref:external": "party2"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.swapswire.com/spec/2001/trade-id",
"@data": "124897"
}
}
]
}
],
"tradeDate": {
"@data": "2008-06-02"
},
"party": [
{
"@key:external": "party1",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
"@data": "ABC1"
}
}
],
"name": {
"@data": "SWL"
}
},
{
"@key:external": "party2",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
"@data": "ABC6"
}
}
],
"name": {
"@data": "RST"
}
}
]
}
} eqs-ex10-short-form-interestLeg-driving-schedule-dates.json Download
{
"trade": {
"product": {
"taxonomy": [
{
"source": "ISDA",
"productQualifier": "EquitySwap_PriceReturnBasicPerformance_SingleName"
}
],
"economicTerms": {
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2008-06-02",
"dateAdjustments": {
"businessDayConvention": "NotApplicable",
"meta": {
"globalKey": "3a4b88ab"
}
},
"meta": {
"globalKey": "25dff1ad"
}
},
"meta": {
"globalKey": "25dff1ad"
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2008-06-04",
"dateAdjustments": {
"businessDayConvention": "NotApplicable",
"meta": {
"globalKey": "3a4b88ab"
}
},
"meta": {
"globalKey": "25dff92f"
}
},
"meta": {
"globalKey": "25dff92f"
}
},
"payout": [
{
"InterestRatePayout": {
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"quantitySchedule": {
"address": {
"scope": "DOCUMENT",
"value": "quantity-1"
}
},
"quantityReference": {
"globalReference": "4cf",
"externalReference": "equityNotionalAmount"
},
"meta": {
"globalKey": "54b65ddd"
}
},
"rateSpecification": {
"FloatingRateSpecification": {
"rateOption": {
"address": {
"scope": "DOCUMENT",
"value": "InterestRateIndex-1"
}
},
"meta": {
"globalKey": "0"
}
}
},
"dayCountFraction": {
"value": "ACT/360"
},
"calculationPeriodDates": {
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2008-06-04",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "EUTA"
}
],
"meta": {
"globalKey": "20a71d"
}
},
"meta": {
"globalKey": "365baaee"
}
},
"meta": {
"globalKey": "e56d3bea"
}
},
"meta": {
"globalKey": "e56d3bea"
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2009-06-04",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "EUTA"
}
],
"meta": {
"globalKey": "20a71d"
}
},
"meta": {
"globalKey": "365baaee"
}
},
"meta": {
"globalKey": "8c3233ea"
}
},
"meta": {
"globalKey": "8c3233ea"
}
},
"meta": {
"globalKey": "c1e5d4",
"externalKey": "interestCalcPeriodDates"
}
},
"paymentDates": {
"paymentDateSchedule": {
"interimPaymentDates": [
{
"periodicDates": {
"startDate": {
"adjustableDate": {
"unadjustedDate": "2008-06-04",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "EUTA"
}
],
"meta": {
"globalKey": "20a71d"
}
},
"meta": {
"globalKey": "365baaee"
}
},
"meta": {
"globalKey": "e56d3bea"
}
},
"meta": {
"globalKey": "e56d3bea"
}
},
"periodFrequency": {
"periodMultiplier": 1,
"period": "M",
"meta": {
"globalKey": "18c9"
},
"rollConvention": "4"
},
"periodDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "EUTA"
}
],
"meta": {
"globalKey": "20a71d"
}
},
"meta": {
"globalKey": "365baaee"
}
}
},
"meta": {
"globalKey": "9f0f331b",
"externalKey": "interestLegPaymentDates"
}
}
]
},
"meta": {
"globalKey": "9f0f331b",
"externalKey": "interestLegPaymentDates"
}
},
"resetDates": {
"calculationPeriodDatesReference": {
"globalReference": "c1e5d4",
"externalReference": "interestCalcPeriodDates"
},
"resetFrequency": {
"periodMultiplier": 1,
"period": "M",
"meta": {
"globalKey": "6c"
}
},
"meta": {
"globalKey": "8325f327"
}
}
},
"meta": {
"globalKey": "e0f9bfca"
}
},
{
"PerformancePayout": {
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantitySchedule": {
"address": {
"scope": "DOCUMENT",
"value": "quantity-1"
}
},
"reset": true,
"meta": {
"globalKey": "4cf",
"externalKey": "equityNotionalAmount"
}
},
"settlementTerms": {
"settlementType": "Cash",
"settlementCurrency": {
"value": "EUR"
},
"meta": {
"globalKey": "76108015"
}
},
"valuationDates": {
"interimValuationDate": {
"determinationMethod": "ValuationTime",
"valuationDates": {
"relativeDates": {
"periodMultiplier": -2,
"period": "D",
"meta": {
"globalKey": "3c7152e0"
},
"businessDayConvention": "PRECEDING",
"dateRelativeTo": {
"globalReference": "9f0f331b",
"externalReference": "interestLegPaymentDates"
}
},
"meta": {
"globalKey": "3c7152e0",
"externalKey": "interimValuationDate"
}
},
"meta": {
"globalKey": "100bc215"
}
},
"finalValuationDate": {
"determinationMethod": "HedgeExecution",
"valuationDate": {
"adjustableDate": {
"unadjustedDate": "2009-06-02",
"dateAdjustments": {
"businessDayConvention": "NotApplicable",
"meta": {
"globalKey": "3a4b88ab"
}
},
"meta": {
"globalKey": "25fdf9ad"
}
},
"meta": {
"globalKey": "25fdf9ad",
"externalKey": "finalValuationDate"
}
},
"meta": {
"globalKey": "97c97b2f"
}
}
},
"paymentDates": {
"paymentDateSchedule": {
"interimPaymentDates": [
{
"relativeDates": {
"periodMultiplier": 2,
"period": "D",
"meta": {
"globalKey": "24ad6927"
},
"dayType": "CurrencyBusiness",
"businessDayConvention": "FOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "EUTA"
}
],
"meta": {
"globalKey": "20a71d"
}
},
"dateRelativeTo": {
"globalReference": "3c7152e0",
"externalReference": "interimValuationDate"
}
},
"meta": {
"globalKey": "24ad6927"
}
}
],
"finalPaymentDate": {
"relativeDate": {
"periodMultiplier": 2,
"period": "D",
"meta": {
"globalKey": "fc30271"
},
"dayType": "CurrencyBusiness",
"businessDayConvention": "FOLLOWING",
"businessCenters": {
"businessCenter": [
{
"value": "EUTA"
}
],
"meta": {
"globalKey": "20a71d"
}
},
"dateRelativeTo": {
"globalReference": "25fdf9ad",
"externalReference": "finalValuationDate"
}
},
"meta": {
"globalKey": "fc30271"
}
}
},
"meta": {
"globalKey": "35da2aea"
}
},
"underlier": {
"Observable": {
"address": {
"scope": "DOCUMENT",
"value": "observable-1"
}
}
},
"returnTerms": {
"priceReturnTerms": {
"returnType": "Price"
}
}
},
"meta": {
"globalKey": "6ffc8b2a"
}
}
]
},
"meta": {
"globalKey": "27dbfc2"
}
},
"tradeLot": [
{
"priceQuantity": [
{
"observable": {
"value": {
"Index": {
"InterestRateIndex": {
"value": {
"FloatingRateIndex": {
"identifier": [
{
"identifier": {
"value": "EUR-EURIBOR-Reuters"
},
"identifierType": "Other"
}
],
"assetClass": "InterestRate",
"floatingRateIndex": {
"value": "EUR-EURIBOR-Reuters"
},
"indexTenor": {
"periodMultiplier": 1,
"period": "M",
"meta": {
"globalKey": "6c"
}
}
}
},
"meta": {
"location": [
{
"scope": "DOCUMENT",
"value": "InterestRateIndex-1"
}
]
}
}
}
},
"meta": {
"location": [
{
"scope": "DOCUMENT",
"value": "observable-2"
}
]
}
},
"meta": {
"globalKey": "81076317"
}
},
{
"price": [
{
"value": {
"value": 10,
"unit": {
"currency": {
"value": "EUR"
}
},
"perUnitOf": {
"financialUnit": "Share"
},
"priceType": "AssetPrice",
"priceExpression": "AbsoluteTerms"
},
"meta": {
"location": [
{
"scope": "DOCUMENT",
"value": "price-1"
}
]
}
}
],
"quantity": [
{
"value": {
"value": 300000,
"unit": {
"currency": {
"value": "EUR"
}
}
},
"meta": {
"location": [
{
"scope": "DOCUMENT",
"value": "quantity-1"
}
]
}
}
],
"observable": {
"value": {
"Asset": {
"Instrument": {
"Security": {
"identifier": [
{
"identifier": {
"value": "PHGe.AS",
"meta": {
"scheme": "http://www.abc.com/instrument-id-Reuters-RIC-1-0"
}
},
"identifierType": "RIC"
},
{
"identifier": {
"value": "NL0000009322",
"meta": {
"scheme": "http://www.abc.com/instrument-id-ISIN-1-0"
}
},
"identifierType": "ISIN"
},
{
"identifier": {
"value": "PHILIPS BUY BACK ORD"
},
"identifierType": "Name"
}
],
"isExchangeListed": true,
"exchange": {
"name": {
"value": "XAMS",
"meta": {
"scheme": "http://www.abc.com/exchangeId"
}
},
"meta": {
"globalKey": "28fe4f"
}
},
"instrumentType": "Equity"
}
}
}
},
"meta": {
"location": [
{
"scope": "DOCUMENT",
"value": "observable-1"
}
]
}
},
"meta": {
"globalKey": "44905e"
}
}
]
}
],
"counterparty": [
{
"role": "Party1",
"partyReference": {
"globalReference": "72ad7ed7",
"externalReference": "party1"
}
},
{
"role": "Party2",
"partyReference": {
"globalReference": "72ad8d67",
"externalReference": "party2"
}
}
],
"adjustment": "Standard",
"tradeIdentifier": [
{
"issuerReference": {
"globalReference": "72ad7ed7",
"externalReference": "party1"
},
"assignedIdentifier": [
{
"identifier": {
"value": "124897",
"meta": {
"scheme": "http://www.swapswire.com/spec/2001/trade-id"
}
}
}
],
"meta": {
"globalKey": "ebf10858"
}
},
{
"issuerReference": {
"globalReference": "72ad8d67",
"externalReference": "party2"
},
"assignedIdentifier": [
{
"identifier": {
"value": "124897",
"meta": {
"scheme": "http://www.swapswire.com/spec/2001/trade-id"
}
}
}
],
"meta": {
"globalKey": "ebf17cb7"
}
}
],
"tradeDate": {
"value": "2008-06-02",
"meta": {
"globalKey": "3ec182"
}
},
"party": [
{
"partyId": [
{
"identifier": {
"value": "ABC1",
"meta": {
"scheme": "http://www.fpml.org/coding-scheme/dummy-party-id"
}
},
"meta": {
"globalKey": "1e8c2f"
}
}
],
"name": {
"value": "SWL"
},
"meta": {
"globalKey": "72ad7ed7",
"externalKey": "party1"
}
},
{
"partyId": [
{
"identifier": {
"value": "ABC6",
"meta": {
"scheme": "http://www.fpml.org/coding-scheme/dummy-party-id"
}
},
"meta": {
"globalKey": "1e8c34"
}
}
],
"name": {
"value": "RST"
},
"meta": {
"globalKey": "72ad8d67",
"externalKey": "party2"
}
}
],
"meta": {
"globalKey": "66c2e0a1"
}
},
"meta": {
"globalKey": "66c2e0a1"
}
}Open this product
Walk the structure in the free viewer, or see how Trader renders a ticket from a product specification.