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IRS Debt Option

Options & forwards CDM 7.2.0

A type of interest rate swap where one party holds an option tied to underlying debt.

Asset class Interest Rate
Payouts OptionPayout
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_Option_DebtOption 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
2004-12-24
Currency
JPY
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
Observable observable · asset
OptionPayout product · template
Security base · staticdata · asset · common
TradeState event · common

The CDM JSON

The full canonical document — 73 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-debt-option.json Download 
{
  "@model": "cdm",
  "@type": "cdm.event.common.TradeState",
  "@version": "0.0.0.master-SNAPSHOT",
  "@key": "5c3834a2",
  "trade": {
    "product": {
      "taxonomy": [
        {
          "source": "ISDA",
          "value": {
            "name": {
              "@data": "InterestRate_Option_DebtOption"
            }
          },
          "calculated": true
        }
      ],
      "economicTerms": {
        "payout": [
          {
            "@type": "cdm.product.template.OptionPayout",
            "payerReceiver": {
              "payer": "Party2",
              "receiver": "Party1"
            },
            "priceQuantity": {
              "quantitySchedule": {
                "@ref:scoped": "quantity-1"
              }
            },
            "settlementTerms": {
              "settlementType": "Physical",
              "settlementDate": {
                "adjustableOrRelativeDate": {
                  "relativeDate": {
                    "periodMultiplier": 8,
                    "period": "D",
                    "dayType": "Business",
                    "businessDayConvention": "NONE",
                    "dateRelativeTo": {
                      "@ref": "e31fa7ad",
                      "@ref:external": "EXERCISE"
                    }
                  }
                }
              }
            },
            "buyerSeller": {
              "buyer": "Party1",
              "seller": "Party2"
            },
            "underlier": {
              "@type": "cdm.observable.asset.Observable",
              "@ref:scoped": "observable-1"
            },
            "optionType": "Call",
            "exerciseTerms": {
              "@key:external": "EXERCISE",
              "style": "American",
              "commencementDate": {
                "adjustableDate": {
                  "unadjustedDate": "2004-12-29",
                  "dateAdjustments": {
                    "businessDayConvention": "FOLLOWING"
                  }
                }
              },
              "expirationDate": [
                {
                  "adjustableDate": {
                    "unadjustedDate": "2009-06-01",
                    "dateAdjustments": {
                      "businessDayConvention": "FOLLOWING"
                    }
                  }
                }
              ],
              "earliestExerciseTime": {
                "hourMinuteTime": "09:00:00",
                "businessCenter": {
                  "@data": "GBLO"
                }
              },
              "expirationTime": {
                "hourMinuteTime": "16:00:00",
                "businessCenter": {
                  "@data": "GBLO"
                }
              },
              "expirationTimeType": "SpecificTime",
              "multipleExercise": {
                "integralMultipleAmount": 1,
                "minimumNumberOfOptions": 20,
                "maximumNumberOfOptions": 200
              },
              "exerciseProcedure": {
                "manualExercise": {
                  "exerciseNotice": {
                    "exerciseNoticeGiver": "Seller",
                    "businessCenter": {
                      "@data": "GBLO"
                    }
                  }
                },
                "followUpConfirmation": true
              }
            },
            "strike": {
              "referenceSwapCurve": {
                "swapUnwindValue": {
                  "floatingRateIndex": "JPY-LIBOR-BBA",
                  "indexTenor": {
                    "periodMultiplier": 6,
                    "period": "M"
                  },
                  "spread": 27
                }
              }
            }
          }
        ],
        "calculationAgent": {
          "calculationAgentParty": "CalculationAgentIndependent"
        }
      }
    },
    "tradeLot": [
      {
        "priceQuantity": [
          {
            "quantity": {
              "@key:scoped": "quantity-1",
              "value": 200,
              "unit": {
                "financialUnit": "Contract"
              },
              "multiplier": {
                "value": 10000000,
                "unit": {
                  "currency": {
                    "@data": "JPY"
                  }
                }
              }
            },
            "observable": {
              "@key:scoped": "observable-1",
              "@data": {
                "@type": "cdm.base.staticdata.asset.common.Security",
                "identifier": [
                  {
                    "identifier": {
                      "@scheme": "ISIN",
                      "@data": "ExampleISIN2"
                    },
                    "identifierType": "ISIN"
                  }
                ],
                "assetType": "Security",
                "securityType": "Debt"
              }
            }
          }
        ]
      }
    ],
    "counterparty": [
      {
        "role": "Party1",
        "partyReference": {
          "@ref:external": "PartyB"
        }
      },
      {
        "role": "Party2",
        "partyReference": {
          "@ref:external": "PartyA"
        }
      }
    ],
    "ancillaryParty": [
      {
        "role": "CalculationAgentIndependent",
        "partyReference": [
          {
            "@ref:external": "PartyA"
          }
        ]
      }
    ],
    "tradeIdentifier": [
      {
        "issuerReference": {
          "@ref:external": "PartyA"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.PartyA.com/eqd-trade-id",
              "@data": "Bond1"
            }
          }
        ]
      }
    ],
    "tradeDate": {
      "@data": "2004-12-24"
    },
    "party": [
      {
        "@key:external": "PartyA",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
              "@data": "Party A"
            }
          }
        ]
      },
      {
        "@key:external": "PartyB",
        "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-debt-option