TRS Index IOS
Swaps CDM 7.2.0A total return swap on an index.
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:SingleIndex | Asserted |
| ISDA | EquitySwap_PriceReturnBasicPerformance_Index | 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
- 2011-03-23
- Effective date
- 2010-05-12
- Termination date
- 2038-01-12
- Currency
- 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 |
| EquityIndex | observable · asset |
| FixedRateSpecification | product · asset |
| InterestRatePayout | product · asset |
| Observable | observable · asset |
| PerformancePayout | product · template |
| TradeState | event · common |
| UnscheduledTransfer | event · common |
The CDM JSON
The full canonical document — 127 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.
trs-ex04-index-ios.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "99a6bbdd",
"trade": {
"product": {
"taxonomy": [
{
"source": "Other",
"value": {
"name": {
"@data": "Equity:Swap:PriceReturnBasicPerformance:SingleIndex"
}
}
},
{
"source": "ISDA",
"value": {
"name": {
"@data": "EquitySwap_PriceReturnBasicPerformance_Index"
}
},
"calculated": true
}
],
"economicTerms": {
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2010-05-12",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2038-01-12",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"payout": [
{
"@type": "cdm.product.template.PerformancePayout",
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-1"
}
},
"settlementTerms": {
"settlementType": "Cash"
},
"valuationDates": {
"initialValuationDate": {
"determinationMethod": "ValuationTime",
"valuationDate": {
"@key:external": "initialValuationDate",
"adjustableDate": {
"unadjustedDate": "2010-05-12",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
}
},
"interimValuationDate": {
"determinationMethod": "ValuationTime",
"valuationDates": {
"@key:external": "interimValuationDates",
"periodicDates": {
"startDate": {
"adjustableDate": {
"unadjustedDate": "2010-06-12",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"endDate": {
"adjustableDate": {
"unadjustedDate": "2037-12-12",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"periodFrequency": {
"periodMultiplier": 1,
"period": "M",
"rollConvention": "12"
},
"periodDatesAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
}
},
"finalValuationDate": {
"determinationMethod": "ValuationTime",
"valuationDate": {
"@key:external": "finalValuationDate",
"adjustableDate": {
"unadjustedDate": "2038-01-12",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
}
}
},
"paymentDates": {
"paymentDateSchedule": {
"interimPaymentDates": [
{
"relativeDates": {
"periodMultiplier": 3,
"period": "D",
"dayType": "Business",
"businessDayConvention": "NONE",
"dateRelativeTo": {
"@ref": "dd77575f",
"@ref:external": "interimValuationDates"
}
}
}
],
"finalPaymentDate": {
"relativeDate": {
"periodMultiplier": 3,
"period": "D",
"dayType": "Business",
"businessDayConvention": "NONE",
"businessCentersReference": {
"@ref:external": "returnBusinessCenter"
},
"dateRelativeTo": {
"@ref": "296055f7",
"@ref:external": "finalValuationDate"
}
}
}
}
},
"underlier": {
"@type": "cdm.observable.asset.Observable",
"@ref:scoped": "observable-1"
},
"returnTerms": {
"priceReturnTerms": {
"returnType": "Total"
}
}
},
{
"@type": "cdm.product.asset.InterestRatePayout",
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantityReference": {
"@ref:external": "returnNotional"
}
},
"rateSpecification": {
"@type": "cdm.product.asset.FixedRateSpecification",
"rateSchedule": {
"price": {
"@ref:scoped": "price-1"
}
}
},
"dayCountFraction": {
"@data": "30/360"
},
"calculationPeriodDates": {
"@key:external": "interestCalculationDates",
"effectiveDate": {
"relativeDate": {
"periodMultiplier": 0,
"period": "D",
"businessDayConvention": "NotApplicable",
"dateRelativeTo": {
"@ref": "261b36f7",
"@ref:external": "initialValuationDate"
}
}
},
"terminationDate": {
"relativeDate": {
"periodMultiplier": 0,
"period": "D",
"businessDayConvention": "NotApplicable",
"dateRelativeTo": {
"@ref": "296055f7",
"@ref:external": "finalValuationDate"
}
}
}
},
"paymentDates": {
"paymentDateSchedule": {
"interimPaymentDates": [
{
"relativeDates": {
"periodMultiplier": 0,
"period": "D",
"businessDayConvention": "NotApplicable",
"dateRelativeTo": {
"@ref:external": "returnPaymentDates"
}
}
}
]
}
},
"resetDates": {
"calculationPeriodDatesReference": {
"@ref": "dd77575f",
"@ref:external": "interimValuationDates"
},
"resetRelativeTo": "CalculationPeriodStartDate"
}
}
]
}
},
"tradeLot": [
{
"priceQuantity": [
{
"price": [
{
"derivedQuantity": {
"value": 31000000,
"unit": {
"currency": {
"@data": "USD"
}
}
}
}
],
"observable": {
"@key:scoped": "observable-1",
"@data": {
"@type": "cdm.observable.asset.EquityIndex",
"identifier": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/entity-name-RED",
"@data": "IOS.FN30.650.67"
},
"identifierType": "Other"
},
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/instrument-id-RED-pair",
"@data": "4A845HAA3"
},
"identifierType": "REDID"
}
],
"assetType": "Other",
"assetClass": "Equity"
}
}
},
{
"price": [
{
"@key:scoped": "price-1",
"value": 0.065,
"unit": {
"currency": {
"@data": "USD"
}
},
"perUnitOf": {
"currency": {
"@data": "USD"
}
},
"priceType": "InterestRate"
}
]
}
]
}
],
"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.abc.com/swaps/trade-id",
"@data": "TRS-01"
}
}
]
},
{
"issuerReference": {
"@ref:external": "party2"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.hedgeco.com/swaps/trade-id",
"@data": "total-ret-swap-01"
}
}
]
}
],
"tradeDate": {
"@data": "2011-03-23"
},
"party": [
{
"@key:external": "party1",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
"@data": "QGPGHQ1ENZOOLJRFTH41"
},
"identifierType": "LEI"
}
],
"name": {
"@data": "ABCD Fund"
}
},
{
"@key:external": "party2",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
"@data": "J6W9XJWVE853A9CVRQ85"
},
"identifierType": "LEI"
}
],
"name": {
"@data": "HedgeCo Capital L.L.C."
}
}
]
},
"transferHistory": [
{
"transfer": {
"@type": "cdm.event.common.UnscheduledTransfer",
"quantity": {
"value": 26800.62,
"unit": {
"currency": {
"@data": "USD"
}
}
},
"asset": {
"@type": "cdm.base.staticdata.asset.common.Cash",
"identifier": [
{
"identifier": {
"@data": "USD"
},
"identifierType": "CurrencyCode"
}
],
"assetType": "Cash"
},
"settlementDate": {
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
},
"payerReceiver": {
"payerPartyReference": {
"@ref:external": "party1"
},
"receiverPartyReference": {
"@ref:external": "party2"
}
},
"transferType": "Upfront"
}
}
]
}Open this product
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