IRS Cap-Floor
Options & forwards CDM 7.2.0A type of interest rate swap where payout is based on rates above and below the cap and floor strike.
Asset class Interest Rate
Payouts InterestRatePayout
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_CapFloor | 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
- 2001-04-29
- Effective date
- 2001-06-30
- Termination date
- 2006-06-30
- Calculation period
- 6 months
- Payment frequency
- 6 months
- 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 |
| NonNegativeDatedValue | base · math |
| TradeState | event · common |
The CDM JSON
The full canonical document — 89 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.
irs-capfloor.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "8843316a",
"trade": {
"product": {
"taxonomy": [
{
"source": "ISDA",
"value": {
"name": {
"@data": "InterestRate_CapFloor"
}
},
"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"
},
"capRateSchedule": {
"price": {
"@ref:scoped": "price-1"
}
}
},
"dayCountFraction": {
"@data": "ACT/360"
},
"calculationPeriodDates": {
"@key:external": "CalcPeriodDates0",
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2001-06-30",
"dateAdjustments": {
"businessDayConvention": "NONE"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2006-06-30",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
}
},
"calculationPeriodDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCentersReference": {
"@ref:external": "accrualBusinessCenters0"
}
}
},
"calculationPeriodFrequency": {
"periodMultiplier": 6,
"period": "M",
"rollConvention": "30"
}
},
"paymentDates": {
"paymentFrequency": {
"periodMultiplier": 6,
"period": "M"
},
"payRelativeTo": "CalculationPeriodEndDate",
"paymentDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
},
"resetDates": {
"@key:external": "resetDates0",
"calculationPeriodDatesReference": {
"@ref:external": "CalcPeriodDates0"
},
"resetRelativeTo": "CalculationPeriodStartDate",
"fixingDates": {
"periodMultiplier": -2,
"period": "D",
"dayType": "Business",
"businessDayConvention": "NONE",
"dateRelativeTo": {
"@ref": "bb26dc11",
"@ref:external": "resetDates0"
}
},
"resetFrequency": {
"periodMultiplier": 6,
"period": "M"
},
"resetDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCentersReference": {
"@ref:external": "resetBusinessCenters0"
}
}
}
}
}
]
}
},
"tradeLot": [
{
"priceQuantity": [
{
"price": [
{
"@key:scoped": "price-1",
"value": 0.06,
"datedValue": [
{
"date": "2002-06-30",
"value": 0.0625,
"@type": "cdm.base.math.NonNegativeDatedValue"
},
{
"date": "2003-06-30",
"value": 0.065,
"@type": "cdm.base.math.NonNegativeDatedValue"
},
{
"date": "2004-06-30",
"value": 0.0675,
"@type": "cdm.base.math.NonNegativeDatedValue"
},
{
"date": "2005-06-30",
"value": 0.07,
"@type": "cdm.base.math.NonNegativeDatedValue"
}
],
"unit": {
"currency": {
"@data": "EUR"
}
},
"perUnitOf": {
"currency": {
"@data": "EUR"
}
},
"priceType": "InterestRate",
"arithmeticOperator": "Min"
}
],
"quantity": {
"@key:scoped": "quantity-1",
"value": 100000000,
"unit": {
"currency": {
"@data": "EUR"
}
}
},
"observable": {
"@key:scoped": "observable-1",
"@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": 6,
"period": "M"
}
}
}
}
}
]
}
],
"counterparty": [
{
"role": "Party1",
"partyReference": {
"@ref:external": "party1"
}
},
{
"role": "Party2",
"partyReference": {
"@ref:external": "party2"
}
}
],
"tradeIdentifier": [
{
"issuerReference": {
"@ref:external": "party1"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.partyA.com/trade-id",
"@data": "FRG78TR45E"
},
"version": 1
}
]
}
],
"tradeDate": {
"@data": "2001-04-29"
},
"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"
}
}
]
}
]
}
}Open this product
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