IRS Basis OIS
Cross-currency CDM 7.2.0A type of interest rate swap where both legs pay a float rate of interest and one leg is based on an overnight interest index.
Asset class Interest Rate
Payouts InterestRatePayout ×2
Provenance As published by FINOS
Trader spec Available
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 | InterestRate_IRSwap_Basis_OIS | 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
- 2021-08-18
- Effective date
- 2021-08-18
- Termination date
- 2022-08-18
- Calculation period
- 3 months
- Payment frequency
- 3 months
- Day count fraction
- ACT/365.FIXED
- Currency
- XAU
- 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 |
| TradeState | event · common |
The CDM JSON
The full canonical document — 140 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.
irs-basis-ois.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "217e797f",
"trade": {
"product": {
"identifier": [
{
"identifier": {
"@scheme": "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id",
"@data": "Commodity:Metals:Precious:LoanLease:Cash"
},
"source": "Other"
}
],
"taxonomy": [
{
"primaryAssetClass": {
"@data": "Commodity"
}
},
{
"source": "ISDA",
"value": {
"name": {
"@data": "InterestRate_IRSwap_Basis_OIS"
}
},
"calculated": true
}
],
"economicTerms": {
"payout": [
{
"@type": "cdm.product.asset.InterestRatePayout",
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-1"
}
},
"rateSpecification": {
"@type": "cdm.product.asset.FloatingRateSpecification",
"rateOption": {
"@ref:scoped": "InterestRateIndex-1"
}
},
"dayCountFraction": {
"@data": "ACT/365.FIXED"
},
"calculationPeriodDates": {
"@key:external": "gofoperioddates1",
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2021-08-18",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2022-08-18",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCentersReference": {
"@ref:external": "primaryBusinessCenters"
}
}
}
}
},
"calculationPeriodDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCentersReference": {
"@ref:external": "primaryBusinessCenters"
}
}
},
"calculationPeriodFrequency": {
"periodMultiplier": 3,
"period": "M",
"rollConvention": "1"
}
},
"paymentDates": {
"paymentFrequency": {
"periodMultiplier": 3,
"period": "M"
},
"firstPaymentDate": "2021-11-18",
"payRelativeTo": "CalculationPeriodEndDate",
"paymentDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCentersReference": {
"@ref:external": "primaryBusinessCenters"
}
}
}
},
"resetDates": {
"@key:external": "resetDates1",
"calculationPeriodDatesReference": {
"@ref:external": "gofoperioddates1"
},
"resetRelativeTo": "CalculationPeriodStartDate",
"fixingDates": {
"periodMultiplier": -2,
"period": "D",
"dayType": "Business",
"businessDayConvention": "NONE",
"businessCentersReference": {
"@ref:external": "primaryBusinessCenters"
},
"dateRelativeTo": {
"@ref": "850a7d83",
"@ref:external": "resetDates1"
}
},
"resetFrequency": {
"periodMultiplier": 3,
"period": "M"
},
"resetDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCentersReference": {
"@ref:external": "primaryBusinessCenters"
}
}
}
}
},
{
"@type": "cdm.product.asset.InterestRatePayout",
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-2"
}
},
"rateSpecification": {
"@type": "cdm.product.asset.FloatingRateSpecification",
"rateOption": {
"@ref:scoped": "InterestRateIndex-2"
},
"spreadSchedule": {
"price": {
"@ref:scoped": "price-1"
}
}
},
"dayCountFraction": {
"@data": "ACT/365.FIXED"
},
"calculationPeriodDates": {
"@key:external": "gofoperioddates2",
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2021-08-18",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCentersReference": {
"@ref:external": "primaryBusinessCenters"
}
}
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2022-08-18",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCentersReference": {
"@ref:external": "primaryBusinessCenters"
}
}
}
}
},
"calculationPeriodDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCentersReference": {
"@ref:external": "primaryBusinessCenters"
}
}
},
"calculationPeriodFrequency": {
"periodMultiplier": 3,
"period": "M",
"rollConvention": "1"
}
},
"paymentDates": {
"paymentFrequency": {
"periodMultiplier": 3,
"period": "M"
},
"firstPaymentDate": "2021-11-18",
"payRelativeTo": "CalculationPeriodEndDate",
"paymentDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCentersReference": {
"@ref:external": "primaryBusinessCenters"
}
}
}
},
"resetDates": {
"@key:external": "resetDates2",
"calculationPeriodDatesReference": {
"@ref:external": "gofoperioddates2"
},
"resetRelativeTo": "CalculationPeriodStartDate",
"fixingDates": {
"periodMultiplier": -2,
"period": "D",
"dayType": "Business",
"businessDayConvention": "NONE",
"businessCentersReference": {
"@ref:external": "primaryBusinessCenters"
},
"dateRelativeTo": {
"@ref": "e6f94e45",
"@ref:external": "resetDates2"
}
},
"resetFrequency": {
"periodMultiplier": 3,
"period": "M"
},
"resetDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCentersReference": {
"@ref:external": "primaryBusinessCenters"
}
}
}
}
}
]
}
},
"tradeLot": [
{
"priceQuantity": [
{
"quantity": {
"@key:scoped": "quantity-1",
"value": 100,
"unit": {
"currency": {
"@data": "XAU"
}
}
},
"observable": {
"@key:scoped": "observable-1",
"@data": {
"@type": "cdm.observable.asset.InterestRateIndex",
"@key:scoped": "InterestRateIndex-1",
"@data": {
"@type": "cdm.observable.asset.FloatingRateIndex",
"identifier": [
{
"identifier": {
"@data": "USD-SOFR-OIS Compound"
},
"identifierType": "Other"
}
],
"assetType": "Other",
"assetClass": "InterestRate",
"floatingRateIndex": {
"@data": "USD-SOFR-OIS Compound"
}
}
}
}
},
{
"price": [
{
"@key:scoped": "price-1",
"value": -0.0001,
"unit": {
"currency": {
"@data": "XAU"
}
},
"perUnitOf": {
"currency": {
"@data": "XAU"
}
},
"priceType": "InterestRate",
"arithmeticOperator": "Add"
}
],
"quantity": {
"@key:scoped": "quantity-2",
"value": 100,
"unit": {
"currency": {
"@data": "XAU"
}
}
},
"observable": {
"@key:scoped": "observable-2",
"@data": {
"@type": "cdm.observable.asset.InterestRateIndex",
"@key:scoped": "InterestRateIndex-2",
"@data": {
"@type": "cdm.observable.asset.FloatingRateIndex",
"identifier": [
{
"identifier": {
"@data": "GOFO"
},
"identifierType": "Other"
}
],
"assetType": "Other",
"assetClass": "InterestRate"
}
}
}
}
]
}
],
"counterparty": [
{
"role": "Party1",
"partyReference": {
"@ref:external": "party1"
}
},
{
"role": "Party2",
"partyReference": {
"@ref:external": "party2"
}
}
],
"tradeIdentifier": [
{
"issuerReference": {
"@ref:external": "party1"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.bankB.com/swaps/com-trade-id",
"@data": "BankA1234"
}
}
]
},
{
"issuerReference": {
"@ref:external": "party2"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.bankA.com/swaps/com-trade-id",
"@data": "BankB5678"
}
}
]
}
],
"tradeDate": {
"@data": "2021-08-18"
},
"party": [
{
"@key:external": "party1",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
"@data": "Bank A"
}
}
],
"name": {
"@data": "Bank a"
}
},
{
"@key:external": "party2",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
"@data": "Bank B"
}
}
],
"name": {
"@data": "Bank B"
}
}
],
"contractDetails": {
"documentation": [
{
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "Confirmation"
}
},
"contractualParty": [
{
"@ref:external": "party1"
},
{
"@ref:external": "party2"
}
]
}
]
}
}
}Open this product
Walk the structure in the free viewer, or book it as a ticket in CDM Trader.