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IRS Swaption

Options & forwards CDM 7.2.0

An 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.

SchemeQualifierSource
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.

TypeNamespace
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. 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-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"
      }
    }
  ]
}

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