IRS Fixed-Float

Swaps CDM 7.2.0

A standard type of interest rate swap where one party pays a fixed rate and the other party pays a floating 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
Other	InterestRate::VanillaSwap	Asserted
ISDA	InterestRate_IRSwap_FixedFloat	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: 2018-11-15
Effective date: 2018-11-16
Termination date: 2023-11-16
Calculation period: 1 month
Payment frequency: 1 month
Day count fraction: ACT/360
Currency: EUR
Parties: 3
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 — 101 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.

irs-fixedfloat.json Download

{
  "@model": "cdm",
  "@type": "cdm.event.common.TradeState",
  "@version": "0.0.0.master-SNAPSHOT",
  "@key": "4cdcebd7",
  "trade": {
    "product": {
      "taxonomy": [
        {
          "source": "Other",
          "value": {
            "name": {
              "@data": "InterestRate::VanillaSwap"
            }
          }
        },
        {
          "source": "ISDA",
          "value": {
            "name": {
              "@data": "InterestRate_IRSwap_FixedFloat"
            }
          },
          "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/360"
            },
            "calculationPeriodDates": {
              "@key:external": "calculationPeriodDates-64209468-677",
              "effectiveDate": {
                "adjustableDate": {
                  "unadjustedDate": "2018-11-16",
                  "dateAdjustments": {
                    "businessDayConvention": "NONE"
                  }
                }
              },
              "terminationDate": {
                "adjustableDate": {
                  "unadjustedDate": "2023-11-16",
                  "dateAdjustments": {
                    "businessDayConvention": "MODFOLLOWING"
                  }
                }
              },
              "calculationPeriodDatesAdjustments": {
                "businessDayConvention": "NONE"
              },
              "calculationPeriodFrequency": {
                "periodMultiplier": 1,
                "period": "M",
                "rollConvention": "16"
              }
            },
            "paymentDates": {
              "paymentFrequency": {
                "periodMultiplier": 1,
                "period": "M"
              },
              "payRelativeTo": "CalculationPeriodEndDate",
              "paymentDaysOffset": {
                "periodMultiplier": 1,
                "period": "D",
                "dayType": "Business"
              },
              "paymentDatesAdjustments": {
                "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/360"
            },
            "calculationPeriodDates": {
              "@key:external": "calculationPeriodDates-64209468-681",
              "effectiveDate": {
                "adjustableDate": {
                  "unadjustedDate": "2018-11-16",
                  "dateAdjustments": {
                    "businessDayConvention": "NONE"
                  }
                }
              },
              "terminationDate": {
                "adjustableDate": {
                  "unadjustedDate": "2023-11-16",
                  "dateAdjustments": {
                    "businessDayConvention": "MODFOLLOWING"
                  }
                }
              },
              "calculationPeriodDatesAdjustments": {
                "businessDayConvention": "NONE"
              },
              "calculationPeriodFrequency": {
                "periodMultiplier": 1,
                "period": "M",
                "rollConvention": "16"
              }
            },
            "paymentDates": {
              "paymentFrequency": {
                "periodMultiplier": 1,
                "period": "M"
              },
              "payRelativeTo": "CalculationPeriodEndDate",
              "paymentDaysOffset": {
                "periodMultiplier": 1,
                "period": "D",
                "dayType": "Business"
              },
              "paymentDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              }
            }
          }
        ],
        "calculationAgent": {
          "calculationAgentParty": "CalculationAgentIndependent"
        }
      }
    },
    "tradeLot": [
      {
        "priceQuantity": [
          {
            "quantity": {
              "@key:scoped": "quantity-1",
              "value": 3672000000,
              "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-EONIA-AVERAGE"
                      },
                      "identifierType": "Other"
                    }
                  ],
                  "assetType": "Other",
                  "assetClass": "InterestRate",
                  "floatingRateIndex": {
                    "@data": "EUR-EONIA-AVERAGE"
                  }
                }
              }
            }
          },
          {
            "price": [
              {
                "@key:scoped": "price-1",
                "value": 0.002,
                "unit": {
                  "currency": {
                    "@data": "EUR"
                  }
                },
                "perUnitOf": {
                  "currency": {
                    "@data": "EUR"
                  }
                },
                "priceType": "InterestRate"
              }
            ],
            "quantity": {
              "@key:scoped": "quantity-2",
              "value": 3672000000,
              "unit": {
                "currency": {
                  "@data": "EUR"
                }
              }
            }
          }
        ]
      }
    ],
    "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/swaps/trade-id",
              "@data": "FpML-test-7"
            }
          }
        ]
      }
    ],
    "tradeDate": {
      "@data": "2018-11-15"
    },
    "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\")"
        }
      },
      {
        "@key:external": "dco",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
              "@data": "123456QQQQ57S5UCBB11"
            },
            "identifierType": "LEI"
          }
        ],
        "name": {
          "@data": "ABC CENTRAL PARTY CLEARING SVC LTD"
        }
      }
    ]
  }
}

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