IRS Xccy Fixed-Float

Cross-currency CDM 7.2.0

A fixed float swap in two different currencies.

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_CrossCurrency_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: 2001-01-09
Effective date: 2006-01-11
Termination date: 2011-01-11
Calculation period: 6 months
Payment frequency: 6 months
Day count fraction: ACT/365.FIXED
Currencies: JPY, USD
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
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 — 120 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.

irs-xccy-fixedfloat.json Download

{
  "@model": "cdm",
  "@type": "cdm.event.common.TradeState",
  "@version": "0.0.0.master-SNAPSHOT",
  "@key": "a5b62364",
  "trade": {
    "product": {
      "taxonomy": [
        {
          "source": "ISDA",
          "value": {
            "name": {
              "@data": "InterestRate_CrossCurrency_FixedFloat"
            }
          },
          "calculated": true
        }
      ],
      "economicTerms": {
        "payout": [
          {
            "@type": "cdm.product.asset.InterestRatePayout",
            "payerReceiver": {
              "payer": "Party1",
              "receiver": "Party2"
            },
            "priceQuantity": {
              "quantitySchedule": {
                "@ref:scoped": "quantity-1"
              }
            },
            "principalPayment": {
              "initialPayment": true,
              "finalPayment": true,
              "intermediatePayment": true
            },
            "rateSpecification": {
              "@type": "cdm.product.asset.FixedRateSpecification",
              "rateSchedule": {
                "price": {
                  "@ref:scoped": "price-1"
                }
              }
            },
            "dayCountFraction": {
              "@data": "ACT/365.FIXED"
            },
            "calculationPeriodDates": {
              "@key:external": "fixedCalcPeriodDates",
              "effectiveDate": {
                "adjustableDate": {
                  "unadjustedDate": "2006-01-11",
                  "dateAdjustments": {
                    "businessDayConvention": "NONE"
                  }
                }
              },
              "terminationDate": {
                "adjustableDate": {
                  "unadjustedDate": "2011-01-11",
                  "dateAdjustments": {
                    "businessDayConvention": "MODFOLLOWING"
                  }
                }
              },
              "calculationPeriodDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              },
              "calculationPeriodFrequency": {
                "periodMultiplier": 6,
                "period": "M",
                "rollConvention": "11"
              }
            },
            "paymentDates": {
              "paymentFrequency": {
                "periodMultiplier": 6,
                "period": "M"
              },
              "payRelativeTo": "CalculationPeriodEndDate",
              "paymentDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              }
            }
          },
          {
            "@type": "cdm.product.asset.InterestRatePayout",
            "payerReceiver": {
              "payer": "Party2",
              "receiver": "Party1"
            },
            "priceQuantity": {
              "quantitySchedule": {
                "@ref:scoped": "quantity-2"
              },
              "quantityReference": {
                "@ref:external": "notionalScheduleJPY"
              },
              "quantityMultiplier": {
                "fxLinkedNotionalSchedule": {
                  "varyingNotionalCurrency": {
                    "@data": "USD"
                  },
                  "varyingNotionalFixingDates": {
                    "periodMultiplier": -2,
                    "period": "D",
                    "dayType": "Business",
                    "businessDayConvention": "NONE",
                    "dateRelativeTo": {
                      "@ref": "fc5438a9",
                      "@ref:external": "floatingResetDates"
                    }
                  },
                  "fxSpotRateSource": {
                    "primarySource": {
                      "sourceProvider": {
                        "@data": "BankOfJapan"
                      }
                    }
                  },
                  "fixingTime": {
                    "hourMinuteTime": "17:00:00",
                    "businessCenter": {
                      "@data": "JPTO"
                    }
                  },
                  "varyingNotionalInterimExchangePaymentDates": {
                    "periodMultiplier": 0,
                    "period": "D",
                    "businessDayConvention": "NONE",
                    "dateRelativeTo": {
                      "@ref": "9b26863f",
                      "@ref:external": "floatingPaymentDates"
                    }
                  }
                }
              }
            },
            "principalPayment": {
              "initialPayment": true,
              "finalPayment": true,
              "intermediatePayment": true
            },
            "rateSpecification": {
              "@type": "cdm.product.asset.FloatingRateSpecification",
              "rateOption": {
                "@ref:scoped": "InterestRateIndex-1"
              }
            },
            "dayCountFraction": {
              "@data": "ACT/360"
            },
            "calculationPeriodDates": {
              "@key:external": "floatingCalcPeriodDates",
              "effectiveDate": {
                "adjustableDate": {
                  "unadjustedDate": "2006-01-11",
                  "dateAdjustments": {
                    "businessDayConvention": "NONE"
                  }
                }
              },
              "terminationDate": {
                "adjustableDate": {
                  "unadjustedDate": "2011-01-11",
                  "dateAdjustments": {
                    "businessDayConvention": "MODFOLLOWING"
                  }
                }
              },
              "calculationPeriodDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              },
              "calculationPeriodFrequency": {
                "periodMultiplier": 3,
                "period": "M",
                "rollConvention": "11"
              }
            },
            "paymentDates": {
              "@key:external": "floatingPaymentDates",
              "paymentFrequency": {
                "periodMultiplier": 3,
                "period": "M"
              },
              "payRelativeTo": "CalculationPeriodEndDate",
              "paymentDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              }
            },
            "resetDates": {
              "@key:external": "floatingResetDates",
              "calculationPeriodDatesReference": {
                "@ref:external": "floatingCalcPeriodDates"
              },
              "resetRelativeTo": "CalculationPeriodStartDate",
              "fixingDates": {
                "periodMultiplier": -2,
                "period": "D",
                "dayType": "Business",
                "businessDayConvention": "NONE",
                "dateRelativeTo": {
                  "@ref": "fc5438a9",
                  "@ref:external": "floatingResetDates"
                }
              },
              "resetFrequency": {
                "periodMultiplier": 3,
                "period": "M"
              },
              "resetDatesAdjustments": {
                "businessDayConvention": "MODFOLLOWING"
              }
            }
          }
        ]
      }
    },
    "tradeLot": [
      {
        "priceQuantity": [
          {
            "price": [
              {
                "@key:scoped": "price-1",
                "value": 0.01,
                "unit": {
                  "currency": {
                    "@data": "JPY"
                  }
                },
                "perUnitOf": {
                  "currency": {
                    "@data": "JPY"
                  }
                },
                "priceType": "InterestRate"
              }
            ],
            "quantity": {
              "@key:scoped": "quantity-1",
              "value": 1000000000,
              "unit": {
                "currency": {
                  "@data": "JPY"
                }
              }
            }
          },
          {
            "quantity": {
              "@key:scoped": "quantity-2",
              "unit": {
                "currency": {
                  "@data": "USD"
                }
              }
            },
            "observable": {
              "@key:scoped": "observable-1",
              "@data": {
                "@type": "cdm.observable.asset.InterestRateIndex",
                "@key:scoped": "InterestRateIndex-1",
                "@data": {
                  "@type": "cdm.observable.asset.FloatingRateIndex",
                  "identifier": [
                    {
                      "identifier": {
                        "@data": "USD-LIBOR-BBA"
                      },
                      "identifierType": "Other"
                    }
                  ],
                  "assetType": "Other",
                  "assetClass": "InterestRate",
                  "floatingRateIndex": {
                    "@data": "USD-LIBOR-BBA"
                  },
                  "indexTenor": {
                    "periodMultiplier": 3,
                    "period": "M"
                  }
                }
              }
            }
          }
        ]
      }
    ],
    "counterparty": [
      {
        "role": "Party1",
        "partyReference": {
          "@ref:external": "party2"
        }
      },
      {
        "role": "Party2",
        "partyReference": {
          "@ref:external": "party1"
        }
      }
    ],
    "tradeIdentifier": [
      {
        "issuerReference": {
          "@ref:external": "party1"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.partyA.com/trade-id",
              "@data": "123"
            }
          }
        ]
      },
      {
        "issuerReference": {
          "@ref:external": "party2"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.partyB.com/trade-id",
              "@data": "123"
            }
          }
        ]
      }
    ],
    "tradeDate": {
      "@data": "2001-01-09"
    },
    "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"
            }
          }
        ]
      }
    ]
  }
}

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