InterestRateIndex

Choice CDM 7.2.0

An index based in interest rates or inflation rates in a certain market.

Extended by —

Variants 2

Namespace cdm.observable.asset

Variants

Exactly one of these must be present. A choice type is how the CDM models “one of” without a discriminator field.

Variant	Description
FloatingRateIndex	Specification of an interest rate index which can change over time, e.g. the SONIA (Sterling Overnight Index Average) in the UK.
InflationIndex	Specification of an index that measures inflation in a specific market, e.g. the US Consumer Price Index.

1 type holds an InterestRateIndex as an attribute.

Model functions that produce or consume this type. These are the CDM's own behaviour — the logic a correct implementation has to match.

Function	Role	Description
CreateInterestRateIndexWithLocation	returns	—
CreateInterestRateIndexWithAddress	returns	—
MapRateOptionWithLocation	returns	—
MapRateOptionWithAddress	returns	—
MapFloatingRateIndexToRateOptionWithLocation	returns	—
MapFloatingRateIndexToRateOptionWithAddress	returns	—
CreateInterestRateIndexWithLocation	takes	—
EvaluateCalculatedRate	takes	Evaluate a calculated rate as described in the 2021 ISDA Definitions.
IndexValueObservation	takes	Retrieve the values of the supplied index on the specified observation date.
IndexValueObservationMultiple	takes	Retrieve the values of the supplied index on the specified observation dates.

Canonical products whose JSON instantiates InterestRateIndex. Useful when you want to see the type populated rather than described.

Product	Asset class	Family
CDS iBoxx OIS	Credit	Index
CDS iBoxx Total Return Swap	Credit	Index
Equity Swap CFD	Equity	Swaps
Equity Swap Composite Basket Long Form	Equity	Swaps
Equity Swap Composite Basket Long Form Separate Spreads	Equity	Swaps
Equity Swap Compounding Swap	Equity	Swaps
Equity Swap European Interdealer Fair Value Share Swap Short Form	Equity	Swaps
Equity Swap Forward Starting Post European Interdealer Share Swap Short Form	Equity	Forwards
Equity Swap Index Quanto Long Form	Equity	Swaps
Equity Swap Long Form With Stub	Equity	Swaps
Equity Swap On European Index Underlyer Short Form	Equity	Swaps
Equity Swap On European Single Stock Underlyer Short Form	Equity	Swaps
Equity Swap Pan Asia Interdealer Share Swap Short Form	Equity	Swaps
Equity Swap Short Form Interestleg Driving Schedule Dates	Equity	Swaps
Equity Swap Single Index Long Form	Equity	Swaps

and 20 more across the library.

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Parsed from CDM 7.2.0 · observable-asset-type.rosetta cdm.observable.asset