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.
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"
}
}
]
}
}Open this product
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