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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.

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.

SchemeQualifierSource
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.

TypeNamespace
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. 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-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"
            }
          ]
        }
      ]
    }
  }
}

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