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IRS Cap-Floor

Options & forwards CDM 7.2.0

A 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.

SchemeQualifierSource
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.

TypeNamespace
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. 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.

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"
            }
          }
        ]
      }
    ]
  }
}

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Library 7.2-lib.2 · CDM 7.2.0 cdm:irs-capfloor