ForeignExchangeRateIndex
Type CDM 7.2.0Specification of a rate based on the exchange of a pair of cash assets in specific currencies, e.g. USD versus GBP.
Attributes
3 declared on ForeignExchangeRateIndex, 10 inherited. Cardinality in amber is required.
| Name | Type | Card. | Description | From |
|---|---|---|---|---|
| identifier | AssetIdentifier | 1..* | Asset Identifiers are used to uniquely identify an Asset, using a specified Asset Identifier Type. | AssetBase |
| taxonomy | Taxonomy | 0..* | Defines the taxonomy of an object by combining a taxonomy source (i.e. the rules to classify the object) and a value (i.e. the output of those rules on the object. | AssetBase |
| isExchangeListed | boolean | 0..1 | Defines whether the asset is listed on a public exchange. | AssetBase |
| party | Party | 0..* | The party with the obligation to pay dividends, coupons, or other payouts to the asset holder. | AssetBase |
| partyRole | AssetPartyRole | 0..1 | The role of the payer specific to the asset type, i.e. bond, equity. | AssetBase |
| ancillaryPartyRole | AssetAncillaryPartyRole | 0..* | The role of a party with indirect participation in the asset (i.e. transfer agent). | AssetBase |
| assetType | AssetTypeEnum | 1..1 | Specifies the type of asset. | AssetBase |
| name | string | 0..1 | A description of the Index. | IndexBase |
| provider | LegalEntity | 0..1 | The organisation that creates or maintains the Index. | IndexBase |
| assetClass | AssetClassEnum | 0..1 | The Asset Class of the Index. | IndexBase |
| quotedCurrencyPair | QuotedCurrencyPair | 1..1 | Describes the composition of a rate that has been quoted or is to be quoted. | — |
| primaryFxSpotRateSource | InformationSource | 1..1 | Specifies the primary source from which a rate should be observed. | — |
| secondaryFxSpotRateSource | InformationSource | 0..1 | Specifies an alternative, or secondary, source from which a rate should be observed. | — |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
FXAssetClass Condition
The asset class must be Foreign Exchange.
assetClass = AssetClassEnum -> ForeignExchangeIn the product library
Canonical products whose JSON instantiates ForeignExchangeRateIndex. Useful when
you want to see the type populated rather than described.
| Product | Asset class | Family |
|---|---|---|
| FX Variance Swap | Foreign Exchange | Spot & forwards |
| FX Volatility Swap | Foreign Exchange | Spot & forwards |
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