IRS Fixed-Float OIS

Swaps CDM 7.2.0

A type of fixed-float swap where the floating leg is based on an overnight index rate.

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_FixedFloat_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: 2023-02-16
Effective date: 2023-02-16
Termination date: 2033-02-16
Calculation period: 1 year
Payment frequency: 1 year
Day count fraction: ACT/365.FIXED
Currency: GBP
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
FixedRateSpecification	product · asset
FloatingRateIndex	observable · asset
FloatingRateSpecification	product · asset
InterestRateIndex	observable · asset
InterestRatePayout	product · asset
TradeState	event · common

The CDM JSON

The full canonical document — 106 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.

irs-fixedfloat-ois.json Download

{
  "@model": "cdm",
  "@type": "cdm.event.common.TradeState",
  "@version": "0.0.0.master-SNAPSHOT",
  "@key": "4ff3b0f2",
  "trade": {
    "product": {
      "taxonomy": [
        {
          "source": "ISDA",
          "value": {
            "name": {
              "@data": "InterestRate_IRSwap_FixedFloat_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": "floatingLegCalcPeriodDates",
              "effectiveDate": {
                "adjustableDate": {
                  "unadjustedDate": "2023-02-16",
                  "dateAdjustments": {
                    "businessDayConvention": "NONE"
                  }
                }
              },
              "terminationDate": {
                "adjustableDate": {
                  "unadjustedDate": "2033-02-16",
                  "dateAdjustments": {
                    "businessDayConvention": "MODFOLLOWING"
                  }
                }
              },
              "calculationPeriodDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              },
              "calculationPeriodFrequency": {
                "periodMultiplier": 1,
                "period": "Y",
                "rollConvention": "16"
              }
            },
            "paymentDates": {
              "@key:external": "floatingLegPaymentDates",
              "paymentFrequency": {
                "periodMultiplier": 1,
                "period": "Y"
              },
              "payRelativeTo": "CalculationPeriodEndDate",
              "paymentDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              }
            },
            "resetDates": {
              "@key:external": "floatingLegResetDates",
              "calculationPeriodDatesReference": {
                "@ref:external": "floatingLegCalcPeriodDates"
              },
              "resetRelativeTo": "CalculationPeriodEndDate",
              "fixingDates": {
                "periodMultiplier": 0,
                "period": "D",
                "businessDayConvention": "PRECEDING",
                "dateRelativeTo": {
                  "@ref": "ed038857",
                  "@ref:external": "floatingLegResetDates"
                }
              },
              "resetFrequency": {
                "periodMultiplier": 1,
                "period": "Y"
              },
              "resetDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              }
            }
          },
          {
            "@type": "cdm.product.asset.InterestRatePayout",
            "payerReceiver": {
              "payer": "Party2",
              "receiver": "Party1"
            },
            "priceQuantity": {
              "quantitySchedule": {
                "@ref:scoped": "quantity-2"
              }
            },
            "rateSpecification": {
              "@type": "cdm.product.asset.FixedRateSpecification",
              "rateSchedule": {
                "price": {
                  "@ref:scoped": "price-1"
                }
              }
            },
            "dayCountFraction": {
              "@data": "ACT/365.FIXED"
            },
            "calculationPeriodDates": {
              "@key:external": "fixedLegCalcPeriodDates",
              "effectiveDate": {
                "adjustableDate": {
                  "unadjustedDate": "2023-02-16",
                  "dateAdjustments": {
                    "businessDayConvention": "NONE"
                  }
                }
              },
              "terminationDate": {
                "adjustableDate": {
                  "unadjustedDate": "2033-02-16",
                  "dateAdjustments": {
                    "businessDayConvention": "MODFOLLOWING"
                  }
                }
              },
              "calculationPeriodDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              },
              "calculationPeriodFrequency": {
                "periodMultiplier": 1,
                "period": "Y",
                "rollConvention": "16"
              }
            },
            "paymentDates": {
              "@key:external": "fixedLegPaymentDates",
              "paymentFrequency": {
                "periodMultiplier": 1,
                "period": "Y"
              },
              "payRelativeTo": "CalculationPeriodEndDate",
              "paymentDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              }
            }
          }
        ]
      }
    },
    "tradeLot": [
      {
        "priceQuantity": [
          {
            "quantity": {
              "@key:scoped": "quantity-1",
              "value": 1100000,
              "unit": {
                "currency": {
                  "@data": "GBP"
                }
              }
            },
            "observable": {
              "@key:scoped": "observable-1",
              "@data": {
                "@type": "cdm.observable.asset.InterestRateIndex",
                "@key:scoped": "InterestRateIndex-1",
                "@data": {
                  "@type": "cdm.observable.asset.FloatingRateIndex",
                  "identifier": [
                    {
                      "identifier": {
                        "@data": "GBP-SONIA-OIS Compound"
                      },
                      "identifierType": "Other"
                    }
                  ],
                  "assetType": "Other",
                  "assetClass": "InterestRate",
                  "floatingRateIndex": {
                    "@data": "GBP-SONIA-OIS Compound"
                  }
                }
              }
            }
          },
          {
            "price": [
              {
                "@key:scoped": "price-1",
                "value": 0.03537,
                "unit": {
                  "currency": {
                    "@data": "GBP"
                  }
                },
                "perUnitOf": {
                  "currency": {
                    "@data": "GBP"
                  }
                },
                "priceType": "InterestRate"
              }
            ],
            "quantity": {
              "@key:scoped": "quantity-2",
              "value": 1100000,
              "unit": {
                "currency": {
                  "@data": "GBP"
                }
              }
            }
          }
        ]
      }
    ],
    "counterparty": [
      {
        "role": "Party1",
        "partyReference": {
          "@ref:external": "partyA"
        }
      },
      {
        "role": "Party2",
        "partyReference": {
          "@ref:external": "partyB"
        }
      }
    ],
    "tradeIdentifier": [
      {
        "issuerReference": {
          "@ref:external": "partyA"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.partyA.com/swaps/trade-id",
              "@data": "FpML-test-7c"
            }
          }
        ]
      }
    ],
    "tradeDate": {
      "@data": "2023-02-16"
    },
    "party": [
      {
        "@key:external": "partyA",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
              "@data": "549300ABANKV6BYQOWM67"
            },
            "identifierType": "LEI"
          }
        ],
        "name": {
          "@data": "A BANK(\"ABANK\")"
        }
      },
      {
        "@key:external": "partyB",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
              "@data": "529900CPTY57S5UCBB52"
            },
            "identifierType": "LEI"
          }
        ],
        "name": {
          "@data": "SELL SECURITIES CO LTD (\"Counterparty\")"
        }
      }
    ],
    "contractDetails": {
      "documentation": [
        {
          "legalAgreementIdentification": {
            "agreementName": {
              "agreementType": "MasterAgreement",
              "masterAgreementType": {
                "@scheme": "http://www.swapswire.com/spec/2001/master-agreement-type-1-0",
                "@data": "ISDAMaster"
              }
            }
          },
          "contractualParty": [
            {
              "@ref:external": "partyA"
            },
            {
              "@ref:external": "partyB"
            }
          ]
        },
        {
          "legalAgreementIdentification": {
            "agreementName": {
              "agreementType": "Confirmation"
            }
          },
          "contractualParty": [
            {
              "@ref:external": "partyA"
            },
            {
              "@ref:external": "partyB"
            }
          ]
        }
      ]
    }
  }
}

Open this product

Walk the structure in the free viewer, or book it as a ticket in CDM Trader.

Open in viewer CDM Trader

← IRS Fixed-Float IRS Fixed-Float Zero Coupon →

Library 7.2-lib.1 · CDM 7.2.0 cdm:irs-fixedfloat-ois