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IRS Inflation YOY

Inflation CDM 7.2.0

An interest rate swap based on inflation index as measured year-over-year.

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_InflationSwap_FixedFloat_YearOn_Year 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
2003-11-15
Effective date
2003-11-20
Termination date
2007-11-20
Calculation period
1 year
Payment frequency
1 year
Day count fraction
30/360
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
Cash base · staticdata · asset · common
FixedRateSpecification product · asset
InflationIndex observable · asset
InflationRateSpecification product · asset
InterestRateIndex observable · asset
InterestRatePayout product · asset
TradeState event · common
UnscheduledTransfer 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-inflation-yoy.json Download 
{
  "@model": "cdm",
  "@type": "cdm.event.common.TradeState",
  "@version": "0.0.0.master-SNAPSHOT",
  "@key": "58cbd5d",
  "trade": {
    "product": {
      "taxonomy": [
        {
          "source": "ISDA",
          "value": {
            "name": {
              "@data": "InterestRate_InflationSwap_FixedFloat_YearOn_Year"
            }
          },
          "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.FixedRateSpecification",
              "rateSchedule": {
                "price": {
                  "@ref:scoped": "price-1"
                }
              }
            },
            "dayCountFraction": {
              "@data": "30/360"
            },
            "calculationPeriodDates": {
              "@key:external": "N104F4",
              "effectiveDate": {
                "adjustableDate": {
                  "unadjustedDate": "2003-11-20",
                  "dateAdjustments": {
                    "businessDayConvention": "MODFOLLOWING"
                  }
                }
              },
              "terminationDate": {
                "adjustableDate": {
                  "unadjustedDate": "2007-11-20",
                  "dateAdjustments": {
                    "businessDayConvention": "MODFOLLOWING"
                  }
                }
              },
              "calculationPeriodDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              },
              "calculationPeriodFrequency": {
                "periodMultiplier": 1,
                "period": "Y",
                "rollConvention": "20"
              }
            },
            "paymentDates": {
              "paymentFrequency": {
                "periodMultiplier": 1,
                "period": "Y"
              },
              "payRelativeTo": "CalculationPeriodEndDate",
              "paymentDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              }
            }
          },
          {
            "@type": "cdm.product.asset.InterestRatePayout",
            "payerReceiver": {
              "payer": "Party2",
              "receiver": "Party1"
            },
            "priceQuantity": {
              "quantitySchedule": {
                "@ref:scoped": "quantity-2"
              }
            },
            "rateSpecification": {
              "@type": "cdm.product.asset.InflationRateSpecification",
              "rateOption": {
                "@ref:scoped": "InterestRateIndex-1"
              },
              "inflationLag": {
                "periodMultiplier": 3,
                "period": "M"
              },
              "indexSource": {
                "@scheme": "http://www.fpml.org/coding-scheme/inflation-index-source-1-0",
                "@data": "CPURNSA"
              },
              "mainPublication": {
                "@scheme": "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0",
                "@data": "BLS"
              },
              "interpolationMethod": {
                "@data": "LinearZeroYield"
              },
              "fallbackBondApplicable": true
            },
            "dayCountFraction": {
              "@data": "1/1"
            },
            "calculationPeriodDates": {
              "@key:external": "N101C1",
              "effectiveDate": {
                "adjustableDate": {
                  "unadjustedDate": "2003-11-20",
                  "dateAdjustments": {
                    "businessDayConvention": "MODFOLLOWING"
                  }
                }
              },
              "terminationDate": {
                "adjustableDate": {
                  "unadjustedDate": "2007-11-20",
                  "dateAdjustments": {
                    "businessDayConvention": "MODFOLLOWING"
                  }
                }
              },
              "calculationPeriodDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              },
              "calculationPeriodFrequency": {
                "periodMultiplier": 3,
                "period": "M",
                "rollConvention": "20"
              }
            },
            "paymentDates": {
              "paymentFrequency": {
                "periodMultiplier": 1,
                "period": "Y"
              },
              "payRelativeTo": "CalculationPeriodEndDate",
              "paymentDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              }
            },
            "compoundingMethod": "None"
          }
        ],
        "calculationAgent": {
          "calculationAgentParty": "CalculationAgentIndependent"
        }
      }
    },
    "tradeLot": [
      {
        "priceQuantity": [
          {
            "price": [
              {
                "@key:scoped": "price-1",
                "value": 0.01,
                "unit": {
                  "currency": {
                    "@data": "EUR"
                  }
                },
                "perUnitOf": {
                  "currency": {
                    "@data": "EUR"
                  }
                },
                "priceType": "InterestRate"
              }
            ],
            "quantity": {
              "@key:scoped": "quantity-1",
              "value": 1000000,
              "unit": {
                "currency": {
                  "@data": "EUR"
                }
              }
            }
          },
          {
            "quantity": {
              "@key:scoped": "quantity-2",
              "value": 1000000,
              "unit": {
                "currency": {
                  "@data": "EUR"
                }
              }
            },
            "observable": {
              "@key:scoped": "observable-1",
              "@data": {
                "@type": "cdm.observable.asset.InterestRateIndex",
                "@key:scoped": "InterestRateIndex-1",
                "@data": {
                  "@type": "cdm.observable.asset.InflationIndex",
                  "assetType": "Other",
                  "assetClass": "InterestRate",
                  "inflationRateIndex": {
                    "@data": "USA-CPI-U"
                  }
                }
              }
            }
          }
        ]
      }
    ],
    "counterparty": [
      {
        "role": "Party1",
        "partyReference": {
          "@ref:external": "party2"
        }
      },
      {
        "role": "Party2",
        "partyReference": {
          "@ref:external": "party1"
        }
      }
    ],
    "ancillaryParty": [
      {
        "role": "CalculationAgentIndependent",
        "partyReference": [
          {
            "@ref:external": "party1"
          }
        ]
      }
    ],
    "tradeIdentifier": [
      {
        "issuerReference": {
          "@ref:external": "party1"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.partyA.com/swaps/trade-id",
              "@data": "E2000098N10184"
            }
          }
        ]
      },
      {
        "issuerReference": {
          "@ref:external": "party2"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.barclays.com/swaps/trade-id",
              "@data": "1234"
            }
          }
        ]
      }
    ],
    "tradeDate": {
      "@data": "2003-11-15"
    },
    "party": [
      {
        "@key:external": "party1",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
              "@data": "12345"
            }
          }
        ]
      },
      {
        "@key:external": "party2",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
              "@data": "67890"
            }
          }
        ]
      }
    ]
  },
  "transferHistory": [
    {
      "transfer": {
        "@type": "cdm.event.common.UnscheduledTransfer",
        "quantity": {
          "value": 10000,
          "unit": {
            "currency": {
              "@data": "EUR"
            }
          }
        },
        "asset": {
          "@type": "cdm.base.staticdata.asset.common.Cash",
          "identifier": [
            {
              "identifier": {
                "@data": "EUR"
              },
              "identifierType": "CurrencyCode"
            }
          ],
          "assetType": "Cash"
        },
        "settlementDate": {
          "unadjustedDate": "2003-11-20",
          "dateAdjustments": {
            "businessDayConvention": "MODFOLLOWING"
          }
        },
        "payerReceiver": {
          "payerPartyReference": {
            "@ref:external": "party1"
          },
          "receiverPartyReference": {
            "@ref:external": "party2"
          }
        },
        "transferType": "Upfront"
      }
    }
  ]
}

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