IRS Swaption
Options & forwards CDM 7.2.0An option on an IRS swap.
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.
| Scheme | Qualifier | Source |
|---|---|---|
| ISDA | InterestRate_Option_Swaption | 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
- 2000-08-30
- 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.
| Type | Namespace |
|---|---|
| Cash | base · staticdata · asset · common |
| FixedRateSpecification | product · asset |
| FloatingRateIndex | observable · asset |
| FloatingRateSpecification | product · asset |
| InterestRateIndex | observable · asset |
| InterestRatePayout | product · asset |
| NonTransferableProduct | product · template |
| OptionPayout | product · template |
| TradeState | event · common |
| UnscheduledTransfer | event · common |
The CDM JSON
The full canonical document — 135 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.
irs-swaption.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "9059c921",
"trade": {
"product": {
"taxonomy": [
{
"source": "ISDA",
"value": {
"name": {
"@data": "InterestRate_Option_Swaption"
}
},
"calculated": true
}
],
"economicTerms": {
"payout": [
{
"@type": "cdm.product.template.OptionPayout",
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"buyerSeller": {
"buyer": "Party1",
"seller": "Party2"
},
"underlier": {
"@type": "cdm.product.template.NonTransferableProduct",
"taxonomy": [
{
"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.FixedRateSpecification",
"rateSchedule": {
"price": {
"@ref:scoped": "price-1"
}
}
},
"dayCountFraction": {
"@data": "30/360"
},
"calculationPeriodDates": {
"@key:external": "CalcPeriodDates0",
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2001-08-30",
"dateAdjustments": {
"businessDayConvention": "NONE"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2006-08-30",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
}
},
"calculationPeriodDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCentersReference": {
"@ref:external": "accrualBusinessCenters0"
}
}
},
"calculationPeriodFrequency": {
"periodMultiplier": 1,
"period": "Y",
"rollConvention": "30"
}
},
"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.FloatingRateSpecification",
"rateOption": {
"@ref:scoped": "InterestRateIndex-1"
}
},
"dayCountFraction": {
"@data": "ACT/360"
},
"calculationPeriodDates": {
"@key:external": "CalcPeriodDates1",
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2001-08-30",
"dateAdjustments": {
"businessDayConvention": "NONE"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2006-08-30",
"dateAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
}
},
"calculationPeriodDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCentersReference": {
"@ref:external": "accrualBusinessCenters1"
}
}
},
"calculationPeriodFrequency": {
"periodMultiplier": 6,
"period": "M",
"rollConvention": "30"
}
},
"paymentDates": {
"paymentFrequency": {
"periodMultiplier": 6,
"period": "M"
},
"payRelativeTo": "CalculationPeriodEndDate",
"paymentDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING"
}
},
"resetDates": {
"@key:external": "resetDates0",
"calculationPeriodDatesReference": {
"@ref:external": "CalcPeriodDates1"
},
"resetRelativeTo": "CalculationPeriodStartDate",
"fixingDates": {
"periodMultiplier": -2,
"period": "D",
"dayType": "Business",
"businessDayConvention": "NONE",
"dateRelativeTo": {
"@ref": "b93c80ca",
"@ref:external": "resetDates0"
}
},
"resetFrequency": {
"periodMultiplier": 6,
"period": "M"
},
"resetDatesAdjustments": {
"businessDayConvention": "MODFOLLOWING",
"businessCenters": {
"businessCentersReference": {
"@ref:external": "paymentBusinessCenters1"
}
}
}
}
}
]
}
},
"exerciseTerms": {
"@key:external": "europeanExercise0",
"style": "European",
"expirationDate": [
{
"adjustableDate": {
"unadjustedDate": "2001-08-28",
"dateAdjustments": {
"businessDayConvention": "FOLLOWING"
}
}
}
],
"earliestExerciseTime": {
"hourMinuteTime": "09:00:00",
"businessCenter": {
"@data": "BEBR"
}
},
"expirationTime": {
"hourMinuteTime": "11:00:00",
"businessCenter": {
"@data": "BEBR"
}
},
"expirationTimeType": "SpecificTime",
"exerciseProcedure": {
"manualExercise": {
"exerciseNotice": {
"exerciseNoticeGiver": "Seller",
"businessCenter": {
"@data": "GBLO"
}
}
},
"followUpConfirmation": true
}
}
}
]
}
},
"tradeLot": [
{
"priceQuantity": [
{
"price": [
{
"@key:scoped": "price-1",
"value": 0.05,
"unit": {
"currency": {
"@data": "EUR"
}
},
"perUnitOf": {
"currency": {
"@data": "EUR"
}
},
"priceType": "InterestRate"
}
],
"quantity": {
"@key:scoped": "quantity-1",
"value": 100000000,
"unit": {
"currency": {
"@data": "EUR"
}
}
}
},
{
"quantity": {
"@key:scoped": "quantity-2",
"value": 100000000,
"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-EURIBOR-Telerate"
},
"identifierType": "Other"
}
],
"assetType": "Other",
"assetClass": "InterestRate",
"floatingRateIndex": {
"@data": "EUR-EURIBOR-Telerate"
},
"indexTenor": {
"periodMultiplier": 6,
"period": "M"
}
}
}
}
}
]
}
],
"counterparty": [
{
"role": "Party1",
"partyReference": {
"@ref:external": "party1"
}
},
{
"role": "Party2",
"partyReference": {
"@ref:external": "party2"
}
}
],
"ancillaryParty": [
{
"role": "CalculationAgentIndependent",
"partyReference": [
{
"@ref:external": "party2"
}
]
}
],
"tradeIdentifier": [
{
"issuer": {
"@scheme": "http://www.fpml.org/coding-scheme/external/nsa/cftc",
"@data": "1031234567"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/usi",
"@data": "UITD7895394"
}
}
],
"identifierType": "UniqueSwapIdentifier"
}
],
"tradeDate": {
"@data": "2000-08-30"
},
"party": [
{
"@key:external": "party1",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
"@data": "Party A"
}
}
]
},
{
"@key:external": "party2",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
"@data": "Party B"
}
}
]
}
]
},
"transferHistory": [
{
"transfer": {
"@type": "cdm.event.common.UnscheduledTransfer",
"quantity": {
"value": 100000,
"unit": {
"currency": {
"@data": "EUR"
}
}
},
"asset": {
"@type": "cdm.base.staticdata.asset.common.Cash",
"identifier": [
{
"identifier": {
"@data": "EUR"
},
"identifierType": "CurrencyCode"
}
],
"assetType": "Cash"
},
"settlementDate": {
"unadjustedDate": "2000-08-30",
"dateAdjustments": {
"businessDayConvention": "FOLLOWING"
}
},
"payerReceiver": {
"payerPartyReference": {
"@ref:external": "party1"
},
"receiverPartyReference": {
"@ref:external": "party2"
}
},
"transferType": "Premium"
}
}
]
}Open this product
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