1286 functions across 73 of the model's 84 namespaces — qualification, lifecycle, calculation and mapping. This is the part of the CDM that makes two implementations agree rather than merely exchange the same shapes.
CDM 7.2.0 · 415 carry a description in the model
33 functions · base · datetime
| Function | Signature | Description |
|---|---|---|
| AddBusinessDays | (date, int, BusinessCenter) → date | Returns a good business date that has been offset by the given number of business days given the supplied business centers. A negative value implies an earlier date (before the supplied originalDate), and a positive value a later date (after the supplied date). |
| AddDays | (date, int) → date | Adds the specified number of calendar days to the supplied date. A negative number will generate a date before the supplied date. |
| AddPeriodToDate | (date, Frequency) → date | Adds a frequency-based period to a date, adjusting for leap years. Month periods are considered as 30 days (31st month-end days are not handled). |
| AdjustableDateResolution | (AdjustableDate) → date | Prioritization of unadjustedDate over adjustedDate. |
| AdjustableDatesResolution | (AdjustableDates) → date | Prioritization of unadjustedDate over adjustedDate. |
| AdjustableOrAdjustedOrRelativeDateResolution | (AdjustableOrAdjustedOrRelativeDate) → date | Prioritization of unadjustedDate over adjustedDate. |
| AdjustDateToBusinessDayConvention | (date, date, BusinessDayConventionEnum) → date | Applies a specific business day convention to a single date if it's a non-business day and adjusts it. Note: Currently, only FOLLOWING, PRECEDING, and MODFOLLOWING conventions are implemented. Other conventions will raise an error indicating they are not yet supported. |
| AdjustDateToFollowingBusinessDay | (date, date) → date | Finds the next available business day by moving forward in time. |
| AdjustDateToModfollowingBusinessDay | (date, date) → date | Applies the 'Following' convention, but reverts to 'Preceding' if the adjustment crosses a month boundary. |
| AdjustDateToPrecedingBusinessDay | (date, date) → date | Finds the previous available business day by moving backward in time. |
| AppendDateToList | (date, date) → date | Add a date to a list of dates. |
| BusinessCenterHolidays | (BusinessCenter) → date | — |
| BusinessCenterHolidaysMultiple | (BusinessCenter) → date | Returns a merged list of holidays for the supplied business centers. |
| ConvertPeriodToNumberOfDays | (PeriodEnum, int) → int | Converts a period to an equivalent number of days. |
| ConvertToAdjustableOrAdjustedOrRelativeDate | (AdjustableOrRelativeDate) → AdjustableOrAdjustedOrRelativeDate | Utility function to convert from AdjustableOrAdjustedOrRelativeDate to AdjustableOrAdjustedOrRelativeDate |
| ConvertToAdjustableOrRelativeDate | (AdjustableOrAdjustedOrRelativeDate) → AdjustableOrRelativeDate | Utility function to convert from AdjustableOrAdjustedOrRelativeDate to AdjustableOrRelativeDate |
| DateDifference | (date, date) → int | Subtracts the two supplied dates to return the number of calendar days between them. A negative number implies first is after second. |
| DateDifferenceYears | (date, date) → number | Computes the difference in years between two dates. A negative number implies firstDate is after secondDate. |
| DayOfWeek | (date) → DayOfWeekEnum | Returns the day of week corresponding to the supplied date. |
| GenerateDateList | (date, date, BusinessCenter) → date | Creates a list of good business days starting from the startDate and going to the end date, inclusive, omitting any days that are weekends or holidays according to the supplied business centers. |
| GetAllBusinessCenters | (BusinessCenters) → BusinessCenter | Returns a merged list of BusinessCenter codes for the supplied BusinessCenters. |
| IsBusinessDay | (date, BusinessCenter) → boolean | returns an indicator of whether the supplied date is a good business date given the supplied business centers. True => good date, i.e. not a weekend or holiday. False means that it is either a weekend or a holiday |
| IsHoliday | (date, BusinessCenter) → boolean | Returns whether a day is a holiday for the specified business centers |
| IsWeekend | (date, BusinessCenter) → boolean | returns whether the supplied date is a weekend. This assumes a 5 day week with Saturday and Sunday as holidays. A more sophisticated implementation might use the business centers to determine which days are weekends, but most jurisdictions where derivatives are traded follow this convention. |
| LeapYearDateDifference | (date, date) → int | Subtracts the two supplied dates to return the number of leap year calendar days between them. A negative number implies firstDate is after secondDate. |
| Now | () → zonedDateTime | Current date time. |
| PopOffDateList | (date) → date | Remove last element from a list of dates. |
| ResolveAdjustableDate | (AdjustableOrRelativeDate) → date | — |
| ResolveAdjustableDates | (AdjustableRelativeOrPeriodicDates) → date | — |
| TimeZoneFromBusinessCenterTime | (BusinessCenterTime) → TimeZone | Function to resolve a time passed as BusinessCenterTime into a TimeZone time. |
| ToDateTime | (date) → zonedDateTime | Creates a ZonedDateTime from the provided Date, and defaults the time to 00:00:00 and timezone to UTC. |
| Today | () → date | Current date. |
| ToTime | (int, int, int) → time | Implemented by Java function. |
3 functions · base · datetime · daycount
| Function | Signature | Description |
|---|---|---|
| DayCountBasis | (DayCountFractionEnum) → int | Return the day count basis (the denominator of the day count fraction) for the day count fraction. |
| YearFraction | (DayCountFractionEnum, date, date, date, int) → number | The fraction of a year represented by a date range |
| YearFractionForOneDay | (DayCountFractionEnum) → number | Return the year fraction represented by a single day, i.e 1 / dayCountBasis, where daycountBasis represents the denominator of the day count fraction. This perhaps should take into account leap years, though the ISDA compounding formulas do not cover ACT basis at the moment. |
26 functions · base · math
| Function | Signature | Description |
|---|---|---|
| Abs | (number) → number | Returns the absolute value of a number. If the argument is not negative, the argument is returned. If the argument is negative, the negation of the argument is returned. |
| AppendToVector | (number, number) → number | Append a single value to a vector (list of numbers). |
| ArithmeticOperation | (number, ArithmeticOperationEnum, number) → number | — |
| CompareNumbers | (number, CompareOp, number) → boolean | — |
| CompareQuantityByUnitOfAmount | (Quantity, CompareOp, Quantity, UnitType) → boolean | — |
| Exp | (number) → number | Calculates the exponential function e^x. Handles zero and negative inputs by utilizing the inverse property exp(-x) = 1/exp(x), and delegates positive inputs to an argument reduction router to ensure numerical stability. |
| FilterQuantity | (Quantity, UnitType) → Quantity | Filter list of quantities based on unit type. |
| FilterQuantityByCurrency | (QuantitySchedule, string) → QuantitySchedule | Filter list of quantities based on unit type. |
| FilterQuantityByCurrencyExists | (QuantitySchedule) → QuantitySchedule | Filter list of quantities based on unit type. |
| FilterQuantityByFinancialUnit | (QuantitySchedule, FinancialUnitEnum) → QuantitySchedule | Filter list of quantities based on unit type. |
| InsertDatedValue | (DatedValue, number, QuantityChangeDirectionEnum, date) → DatedValue | Build a list of datedValues with the new entry inserted after the last item whose date is either before or the same as the effective date. The value for the new entry is taken from the previous datedValue item. Note that this will append a new entry if the effective date is greater than all the dates in the datedValue list. |
| Log | (number) → number | Calculates the natural logarithm ln(x). Uses argument scaling to shift inputs into the optimal series convergence range (0.5 to 2.0) by applying logarithmic identities (e.g., ln(x) = ln(x*C) - ln(C)) for small or large inputs. |
| Max | (number, number) → number | Returns the greater number of two supplied numbers. |
| Min | (number, number) → number | Returns the lesser number of two supplied numbers. |
| RoundToNearest | (number, number, RoundingModeEnum) → number | Round a number to the supplied nearest, using the supplied rounding mode. |
| RoundToPrecision | (number, int, RoundingDirectionEnum, boolean) → number | Round a number to the supplied precision, using the supplied rounding direction. |
| RoundToSignificantFigures | (number, int, RoundingDirectionEnum) → number | Round a number to the supplied significant figures, using the supplied rounding direction. |
| Sqrt | (number) → number | Approximates the square root of a number using the Newton-Raphson method (Babylonian method). Utilizes a tiered initial guess strategy based on input magnitude followed by 10 unrolled iterations to ensure convergence to double precision. |
| StringEquals | (string, string) → boolean | Used by UnitEquals to compare two strings while ignoring the scheme. |
| UnitEquals | (UnitType, UnitType) → boolean | Compares two UnitType to check if all attributes match. |
| UpdateAmount | (number, number, QuantityChangeDirectionEnum) → number | Updates an amount based on the given QuantityChangeDirectionEnum. If the direction is Increase, the old amount and change amount are summed, if the direction is Decrease, then the change amount is subtracted from the old amount, and if the direction is Replace then the change amount replaces the old amount. |
| UpdateDatedValue | (DatedValue, number, QuantityChangeDirectionEnum, date) → DatedValue | Updates the amount of the dated value that matches the effective date passed in. Only the datedValue item(s) that match the effective date will be updated according to the direction. |
| UpdateNonNegativeDatedValues | (NonNegativeDatedValue, number, QuantityChangeDirectionEnum, date) → NonNegativeDatedValue | Updates the amounts of the dated values based on the given QuantityChangeDirectionEnum. For all periods after the effective date of the change, if the direction is Increase, the old amount and change amount are summed, if the direction is Decrease, then the change amount is subtracted from the old amount, and if the direction is Replace then the change amount replaces the old amount. |
| VectorGrowthOperation | (number, number) → number | Generates a result vector by starting with the supplied base value (typically 1), and then multiplying it in turn by each growth factor, which is typically a number just above 1. For instance, a growth factor of 1.1 reprsents a 10% increase, and 0.9 a 10% decrease. The results will show the successive results of applying the successive growth factors, with the first value of the list being the supplied baseValue, and final value of the results list being the product of all of the supplied values. i.e. result[1] = baseValue * factor[1], result[n] = result[n-1] * factor[n]. The resulting list will have the one more element than the supplied list of factors. |
| VectorOperation | (ArithmeticOperationEnum, number, number) → number | Generates a result vector by applying the supplied arithmetic operation to each element of the supplied left and right vectors in turn. i.e. result[n] = left[n] <op> right[n], where <op> is the arithmetic operation defined by ArithmeticOperationEnum. |
| VectorScalarOperation | (ArithmeticOperationEnum, number, number) → number | Generates a result vector by applying the supplied arithmetic operation and scalar right value to each element of the supplied left vector in turn. i.e. result[n] = left[n] <op> right, where <op> is the arithmetic operation defined by ArithmeticOperationEnum. |
4 functions · base · math · util
| Function | Signature | Description |
|---|---|---|
| Exp_Core_Taylor | (number) → number | Calculates the exponential function using a 10th-degree Taylor-Maclaurin series expansion (1 + x + x^2/2! + ...). Optimized for small inputs using unrolled power calculations and pre-computed factorial constants to minimize computational cost. |
| Exp_Pos_Router | (number) → number | Routes positive inputs to the Taylor series core. Performs argument reduction by dividing large inputs by powers of 2 (2, 4, 8, or 16) to ensure the value passed to the series falls within the optimal convergence range (0.0 to 0.7). |
| Exp_Squaring_Helper | (number, number) → number | Reconstructs the exponential result by performing repeated squaring. Acts as the inverse operation to the argument reduction phase, calculating (val)^(2^count) to restore the original magnitude. |
| Log_Internal_Series | (number) → number | Calculates the natural logarithm using the Inverse Hyperbolic Tangent series expansion up to degree 19. Optimized for the interval (0.5, 2.0) using unrolled power calculations and direct term division. |
3 functions · base · staticdata · asset · common
| Function | Signature | Description |
|---|---|---|
| AssetIdentifierByType | (AssetIdentifier, AssetIdTypeEnum) → AssetIdentifier | Returns all the Asset Identifiers of a certain Identifier Type. |
| GetCashCurrency | (Cash) → CurrencyCodeEnum | Returns the enumerated Currency Code of a Cash asset. |
| SetCashCurrency | (Cash, CurrencyCodeEnum) → Cash | Sets (or updates) the string identifier of a Cash asset using an enumerated Currency Code. |
2 functions · base · staticdata · codelist
| Function | Signature | Description |
|---|---|---|
| LoadCodeList | (string) → CodeList | Loads a code list JSON resource into memory in the form of cdm.base.staticdata.codelist.CodeList Rune object |
| ValidateFpMLCodingSchemeDomain | (FpMLCodingScheme, string) → boolean | Validates an FpMLCodingScheme code against the resource code list defined by the domain. It leverages LoadCodeList internally. |
5 functions · base · staticdata · party
| Function | Signature | Description |
|---|---|---|
| ExtractAncillaryPartyByRole | (AncillaryParty, AncillaryRoleEnum) → AncillaryParty | Extracts from a list of AncillaryParty data types, the AncillaryParty that corresponds to the AncillaryRoleEnum. |
| ExtractCounterpartyByRole | (Counterparty, CounterpartyRoleEnum) → Counterparty | Extracts from a list of Counterparty data types, the Counterparty that corresponds to the role i.e. Party1 or Party2. |
| FilterPartyRole | (PartyRole, PartyRoleEnum) → PartyRole | Filters the list of partyRoles based on the provided partyRoleEnum. |
| FilterRelatedPartyByRole | (RelatedParty, PartyRoleEnum) → RelatedParty | Filters the list of RelatedParty based on the provided partyRoleEnum. |
| ReplaceParty | (Party, Party, Party) → Party | Removes the old party, and adds the new party. |
100 functions · event · common
| Function | Signature | Description |
|---|---|---|
| AdjustedValuationDates | (ValuationDates) → date | — |
| AssetPayoutObligationsFulfilled | (AssetPayout, TransferState) → boolean | Determines whether the obligations defined by the AssetPayout have been fulfilled by checking that the quantity of shares required have been successfully transferred. |
| CalculateReset | (CalculateResetInstruction) → Reset | Function specification to calculate a reset. |
| CalculateTransfer | (CalculateTransferInstruction) → Transfer | Function specification to calculate a transfer, e.g. following a reset on a contract |
| ChangeCounterparty | (Counterparty, Counterparty) → Counterparty | — |
| CompareTradeStatesToAmount | (TradeState, CompareOp, number) → boolean | For each TradeState, compare the Quantity amounts in each TradeState to the given amount (regardless of unit of amount), based on the CompareOp enum. |
| Create_AdjustmentPrimitiveInstruction | (TradeState, number, number, AdjustableOrRelativeDate) → PrimitiveInstruction | Creates the primitive instructions for a repricing that alters the collateral quantity and value of the trade. Transaction value and variation margin are processed separately as are transfers of cash and securities. |
| Create_AgreementEvent | (AgreementInstruction, AgreementEventIntentEnum, date, date) → AgreementEvent | Creates an agreement event from primitive instructions and their associated event date, effective date and intent. |
| Create_AgreementPartyChange | (Counterparty, PartyRole, LegalAgreement) → LegalAgreement | Specifies the inputs, outputs and constraints when calculating the after Legal agreement based on a change to the parties. |
| Create_AgreementTermsChange | (AgreementTermsChangeInstruction, LegalAgreement) → LegalAgreement | Creates and applies change in terms to an existing Legal Agreement record based on a before legal agreement and the application of term election changes that are represented by a Legal agreement amendment. |
| Create_AssetTransfer | (CalculateTransferInstruction) → Transfer | Defines how Transfer that represents an exchange of asset based on an asset payout, should be constructed. |
| Create_BillingRecord | (BillingRecordInstruction) → BillingRecord | Creates an individual billing record to be included in a Security Lending Billing Invoice |
| Create_BillingRecords | (BillingRecordInstruction) → BillingRecord | Creates for each billing instruction an individual billing record to be included in a Security Lending Billing Invoice |
| Create_BillingSummary | (BillingRecord) → BillingSummary | Creates a billing summary to be included in a Security Lending Billing Invoice. |
| Create_BusinessEvent | (Instruction, EventIntentEnum, date, date) → BusinessEvent | Creates a business event from instructions containing primitive instructions and optionally a trade state. |
| Create_CancellationPrimitiveInstruction | (TradeState, number, AdjustableOrRelativeDate) → PrimitiveInstruction | Creates a primitive instruction for early cancellation. |
| Create_CancellationTermChangeInstruction | (NonTransferableProduct, AdjustableOrRelativeDate) → TermsChangeInstruction | Create a terms change instruction for a cancellation that consists in bringing the termination date forward. |
| Create_CashTransfer | (CalculateTransferInstruction) → Transfer | Defines how Transfer that represents an exchange of cash, should be constructed. |
| Create_ContractFormation | (ContractFormationInstruction, TradeState) → TradeState | Function specification that represents an executed trade for a contractual product that has been affirmed (or confirmed) by the two parties. The formed contract can reference a legal agreement for instance a master agreement, by using the optional legalAgreement input. |
| Create_ContractFormationInstruction | (LegalAgreement) → ContractFormationInstruction | — |
| Create_EffectiveOrTerminationDateTermChangeInstruction | (NonTransferableProduct, AdjustableOrRelativeDate, AdjustableOrRelativeDate) → TermsChangeInstruction | Creates the relevant terms change primitive instruction object for rolling a contractual product, which consists in the same terms as the original contractual product but with different effective and termination dates. |
| Create_Execution | (ExecutionInstruction) → TradeState | Specifies the function to compose an execution based on a minimum required set of inputs: product, quantity, parties, etc. |
| Create_Exercise | (ExerciseInstruction, TradeState) → TradeState | Defines the process of putting into effect the rights specified in an options contract, such as to buy or sell a security. Once exercised the option contract is terminated. |
| Create_ExposureFromTrades | (TradeState) → Exposure | Builds an Exposure structure from a list of trades. |
| Create_IMCSATermsChange | (CreditSupportAgreementInitialMarginElections, LegalAgreement) → LegalAgreement | Specifies the inputs, outputs and constraints when calculating the after Legal Agreement based on a change in terms due to an amendment agreement. |
| Create_IndexTransitionTermsChange | (IndexTransitionInstruction, TradeState) → TradeState | Function specification to create a terms change that contains changes to the floating rate indexes and adds an adjustment spread to any existing spread. |
| Create_LegacyCSATermsChange | (CreditSupportAgreementLegacyElections, LegalAgreement) → LegalAgreement | Specifies the inputs, outputs and constraints when calculating the after Legal agreement based on a change in terms due to an amendment agreement. |
| Create_NonTransferableProduct | (Underlier, PayerReceiver) → NonTransferableProduct | Creates a NonTransferableProduct (ie EconomicTerms) from an underlier. |
| Create_Observation | (ObservationInstruction, TradeState) → TradeState | Function specification to create an observation that incorporates an observation event into the observation history of a given trade state. |
| Create_OnDemandInterestPaymentPrimitiveInstruction | (TradeState, Money, SettlementDate) → PrimitiveInstruction | An instruction to make a interium interest payment by adding a payout leg to the deal. |
| Create_OnDemandRateChangePriceChangeInstruction | (PriceQuantity, number) → QuantityChangeInstruction | Creates a price change instruction for an on-demand rate change, based on a new rate provided as a single number by matching it to a single rate price. |
| Create_OnDemandRateChangePrimitiveInstruction | (TradeState, AdjustableOrRelativeDate, number) → PrimitiveInstruction | Creates a full primitive instruction for an on-demand rate change event. A rate change consists in closing the original trade and opening a new one with the same details as the original one, but with a new rate (price) and effective date. The business event logic checks that there is only 1 rate price in the original trade to be updated. |
| Create_OnDemandRateChangeTermsChangeInstruction | (NonTransferableProduct, AdjustableOrRelativeDate) → TermsChangeInstruction | Creates a terms change instruction for an on-demand rate change, based on a new rate provided as a single number. This instruction only updates the effective date but keeps other details of the trade unchanged. |
| Create_PackageExecutionDetails | (ExecutionDetails, Identifier, Identifier) → ExecutionDetails | Add a package component to an execution details object. This package component is constructed using an identifier for the package and the list of identifiers for its components. |
| Create_PairOffInstruction | (TradeState, Identifier) → Instruction | Creates a set of instructions to pair-off a set of trades based on a pair reference. A package component is created based on that pair reference and the list of identifiers for the underlying trades. That package component is then added onto the execution details of every underlying trade. The existing trades are not terminated. |
| Create_PartialDeliveryPrimitiveInstruction | (TradeState, PriceQuantity) → PrimitiveInstruction | Creates the primitive instruction for partial delivery of a repo transaction at settlement. |
| Create_PartyChange | (Counterparty, AncillaryParty, PartyRole, TradeIdentifier, TradeState) → TradeState | Defines the logic for changing one of the counterparties on a trade. A new trade identifier must be specified as a change of party results in a new trade. An ancillary party can also be specified, for instance to refer to the original executing party on the new trade. |
| Create_QuantityChange | (QuantityChangeInstruction, TradeState) → TradeState | A specification of the inputs, outputs and constraints when calculating the after state of a Quantity Change Primitive Event |
| Create_RepricePrimitiveInstruction | (TradeState, number, number, AdjustableOrRelativeDate) → PrimitiveInstruction | Creates the primitive instructions for a repricing that alters the cash amount of the trade. Transaction value and variation margin are processed separately as are transfers of cash and securities. |
| Create_Reset | (ResetInstruction, TradeState) → TradeState | This function processes a lifecycle reset event (e.g., a floating interest rate) for an active trade. It takes the incoming Reset Instruction and applies it to the current state of the trade. |
| Create_Return | (TradeState, ReturnInstruction, date) → BusinessEvent | Defines the process of partially or fully returning a Security Lending Transaction. |
| Create_RollPrimitiveInstruction | (TradeState, AdjustableOrRelativeDate, AdjustableOrRelativeDate, PriceQuantity) → PrimitiveInstruction | Creates the primitive instructions for a trade roll. A trade roll consists in closing an existing trade and entering into a new one which has the same characteristics as the old one, except with an extended termination date and (possibly) a different price. |
| Create_RollTermChangeInstruction | (NonTransferableProduct, AdjustableOrRelativeDate, AdjustableOrRelativeDate) → TermsChangeInstruction | Creates the relevant terms change primitive instruction object for rolling a contractual product, which consists in the same terms as the original contractual product but with different effective and termination dates. |
| Create_SecurityLendingInvoice | (BillingInstruction) → SecurityLendingInvoice | Defines the process of calculating and creating a Security Lending Invoice. |
| Create_ShapingInstruction | (TradeState, TradeLot, Identifier) → PrimitiveInstruction | Creates a set of instructions to shape a trade based on shaped quantities and a package ID. The original trade is closed and split into (smaller) shaped trades based on a set of trade lots containing the shaped quantities and an identifier for each shaped trade. A package component is created based on the package ID and the list of identifiers for the shaped trades. That package component is then added onto the execution details of every shaped trade. |
| Create_Split | (PrimitiveInstruction, TradeState) → TradeState | Defines the logic for splitting a trade into separate copies. The split instruction contains a breakdown into N set of primitive instructions. Each set contains the primitive instructions to be applied to each post-split trade, eventually producing N trades. The split function underpins a number of business events such as clearing or allocation. |
| Create_StockSplit | (StockSplitInstruction, TradeState) → TradeState | Function specification to create the fully-formed business event which represents the impact of a stock split (or a reverse stock split) on an Equity Derivatives contract on a certain date. |
| Create_SubstitutionInstruction | (NonTransferableProduct, AdjustableOrRelativeDate, CollateralPortfolio) → TermsChangeInstruction | Creates the terms change instruction that updates the payout with the new substitution payout. |
| Create_SubstitutionPrimitiveInstruction | (TradeState, AdjustableOrRelativeDate, CollateralPortfolio, PriceQuantity) → PrimitiveInstruction | Creates the primitive instructions for a substitution of collateral by replacing the assetpayout of the trade. |
| Create_TerminationInstruction | (TradeState, AdjustableOrRelativeDate) → PrimitiveInstruction | Creates the relevant primitive instruction for a termination, which consists in a quantity change to bring the quantity to zero. |
| Create_TermsChange | (TermsChangeInstruction, TradeState) → TradeState | A specification of the inputs, outputs and constraints when calculating the after tradeState based Terms Change Primitive Instruction. |
| Create_TradeState | (PrimitiveInstruction, TradeState) → TradeState | — |
| Create_Transfer | (TransferInstruction, TradeState) → TradeState | Defines how a transfer should be constructed, when representing the exchange of cash between parties. |
| Create_Valuation | (ValuationInstruction, TradeState) → TradeState | Function specification to incorporate a new assessment of the valuation in the valuation history of a given trade state. |
| Create_VMCSATermsChange | (CreditSupportAgreementVariationMarginElections, LegalAgreement) → LegalAgreement | Specifies the inputs, outputs and constraints when calculating the after Legal Agreement based on a change in terms due to an amendment agreement. |
| EmptyExecutionDetails | () → ExecutionDetails | — |
| EmptyTransferHistory | () → TransferState | — |
| EquityCashSettlementAmount | (TradeState, date) → Transfer | Represents Part 1 Section 12 of the 2018 ISDA CDM Equity Confirmation for Security Equity Swap, Para 72. 'Equity Cash Settlement Amount' means, in respect of an Equity Cash Settlement Date, an amount in the Settlement Currency determined by the Calculation Agent as of the Equity Valuation Date to which the Equity Cash Settlement Amount relates, pursuant to the following formula: Equity Cash Settlement Amount = ABS(Rate Of Return) * Equity Notional Amount. |
| EquityNotionalAmount | (number, Price) → number | Part 1 Section 12 of the 2018 ISDA CDM Equity Confirmation for Security Equity Swap, Para 74. 'Equity Notional Amount' means the Number Of Securities times the Initial Price, adjusted, if applicable, as provided in Part 1 Section 2.2, 'Equity Notional Reset'. If 'With Reset' is the Equity Notional Reset Election, then in respect of each Equity Cash Settlement Date: (i) the Equity Notional Amount applicable in respect of the first Equity Cash Settlement Date will be the amount specified as such in the definition of Equity Notional Amount; (ii) the Equity Notional Amount applicable in respect of each subsequent Equity Cash Settlement Date will be the sum of (a) the Equity Notional Amount in respect of the prior Equity Cash Settlement Date and (b) the Equity Performance, whether positive or negative, in respect of the prior Equity Cash Settlement Date; and (iii) the Floating Notional Amount will be adjusted as provided in sub-clauses (i) and (ii) above as though it were an Equity Notional Amount. |
| EquityPerformance | (Trade, Price, date) → number | Part 1 Section 12 of the 2018 ISDA CDM Equity Confirmation for Security Equity Swap, Para 75. 'Equity Performance' means, in respect of an Equity Cash Settlement Date, an amount in the Settlement Currency determined by the Calculation Agent as of the Equity Valuation Date to which the Equity Cash Settlement Amount relates, pursuant to the following formula: Equity Performance = (Rate Of Return) Equity Notional Amount. |
| ExtractAfterTrade | (BusinessEvent) → Trade | — |
| ExtractBeforeEconomicTerms | (BusinessEvent) → EconomicTerms | — |
| ExtractBeforeTrade | (BusinessEvent) → Trade | — |
| ExtractOpenEconomicTerms | (BusinessEvent) → EconomicTerms | — |
| ExtractTradeCollateralPrice | (TradableProduct) → number | — |
| ExtractTradeCollateralQuantity | (TradableProduct) → number | — |
| ExtractTradePurchasePrice | (TradableProduct) → number | — |
| FilterCashTransfers | (Transfer) → Transfer | — |
| FilterClosedTradeStates | (TradeState) → TradeState | Filter to only 'closed' TradeState - where either the closedState or positionState are set. |
| FilterOpenTradeStates | (TradeState) → TradeState | Filter to only 'open' TradeState - where both the closedState and positionState are not set. |
| FilterSecurityTransfers | (Transfer) → Transfer | — |
| FindMatchingIndexTransitionInstruction | (PriceQuantity, PriceQuantity) → PriceQuantity | — |
| InterestCashSettlementAmount | (TradeState, Payout, Reset, date) → Transfer | Defines the performance calculations relevant for a fixed or floating rate payout. |
| InterestPayoutObligationsFulfilled | (InterestRatePayout, TransferState) → boolean | Determines whether the obligations defined by the InterestRatePayout have been fulfilled by checking that the total value of cash required has been successfully transferred. |
| NewEquitySwapProduct | (Security, EquitySwapMasterConfirmation2018) → NonTransferableProduct | Function specification to create an Equity Swap according to the 2018 ISDA CDM Equity Confirmation Template, based on a minimum set of inputs which can (optionally) include a Master Confirmation Agreement. The inputs represent the minimum set of inputs required to create an Equity Swap, either based on an existing Master Confirmation Agreement or as a stand-alone Equity Swap |
| NewFloatingPayout | (EquitySwapMasterConfirmation2018) → InterestRatePayout | Function specification to create the interest rate (floating) payout part of an Equity Swap according to the 2018 ISDA CDM Equity Confirmation template. |
| NewSingleNameEquityPerformancePayout | (Security, EquitySwapMasterConfirmation2018) → PerformancePayout | Function specification to create the equity payout part of an Equity Swap according to the 2018 ISDA CDM Equity Confirmation template. |
| NewTradeInstructionOnlyExists | (PrimitiveInstruction) → boolean | — |
| PayoutObligationFulfillmentFromTrade | (TradeState) → boolean | Determines the payouts and collateral payouts in a trade and whether the obligations have been fulfilled for each of them. |
| QuantityDecreased | (TradeState, TradeState) → boolean | — |
| QuantityDecreasedToZero | (TradeState, TradeState) → boolean | — |
| QuantityIncreased | (TradeState, TradeState) → boolean | — |
| RateOfReturn | (PriceSchedule, PriceSchedule) → number | Part 1 Section 12 of the 2018 ISDA CDM Equity Confirmation for Security Equity Swap, Para 139. 'Rate Of Return' means, in respect of any Equity Valuation Date, the amount determined pursuant to the following formula: Rate Of Return = (Final Price - Initial Price) / Initial Price. |
| ResolveCashSettlementDate | (TradeState) → date | A product agnostic function that resolves the settlement date of the payout for the period in question |
| ResolveInterestRateObservationIdentifiers | (InterestRatePayout, date) → ObservationIdentifier | Defines which attributes on the InterestRatePayout should be used to locate and resolve the underlier's price, for example for the reset process. |
| ResolveInterestRateReset | (InterestRatePayout, Observation, date, date) → Reset | Defines how to resolve the reset value for an InterestRatePayout. |
| ResolvePerformanceObservationIdentifiers | (PerformancePayout, date) → ObservationIdentifier | Defines which attributes on the PerformancePayout should be used to locate and resolve the underlier's price, for example for the reset process. |
| ResolvePerformanceReset | (PerformancePayout, Observation, date) → Reset | Defines how to resolve the reset value for a performance payout. |
| ResolvePerformanceValuationTime | (BusinessCenterTime, TimeTypeEnum, AssetIdentifier, DeterminationMethodEnum) → TimeZone | Defines how to resolve the observation time from those specified in the Performance Valuation type. |
| ResolveRepurchaseTransferInstruction | (TradeState, date) → EventInstruction | Resolves an instruction for settlement of a Repurchase Event |
| ResolveReset | (TradeState, date) → Reset | Defines the interface for adopters to resolve a reset, given a trade state and a date. |
| ResolveSecurityFinanceBillingAmount | (TradeState, Reset, date, date, date) → Transfer | Calculates the billing amount for a Security Finance transaction. |
| ResolveTransfer | (CalculateTransferInstruction) → Transfer | Defines how to calculate the amount due to be transferred after a Reset Event. |
| SecurityFinanceCashSettlementAmount | (TradeState, date, Quantity, PayerReceiver) → Transfer | — |
| ToMoney | (Quantity) → Money | — |
| TradeNoExecutionDetails | (Trade) → Trade | — |
| TransfersForDate | (Transfer, date) → Transfer | — |
| Update_ProductDirection | (NonTransferableProduct, CounterpartyRoleEnum, CounterpartyRoleEnum) → NonTransferableProduct | Flips the payer and receiver on a product (used when a Put Option is exercised). |
| UpdateIndexTransitionPriceAndRateOption | (PriceQuantity, PriceQuantity) → PriceQuantity | — |
| UpdateSpreadAdjustmentAndRateOptions | (TradeState, PriceQuantity) → TradeState | For each of the trade state's price quantity, find a matching price quantity instruction, and call the update function. |
3 functions · event · instructioncomposition
| Function | Signature | Description |
|---|---|---|
| AddStepToCompositionState | (CompositionState, CompositionStepInstruction) → CompositionState | Directs the incoming instruction to the appropriate history update logic based on the specific type of Instruction Composition process, ensuring the cumulative state is incrementally updated. |
| Create_InstructionComposition | (InstructionComposition, string, TradeIdentifier, InstructionCompositionTypeEnum, string, CompositionStepInstruction) → InstructionComposition | Creates a new InstructionComposition instance by appending a CompositionStep derived from the provided instruction, updating any previous compositionState, and producing the Instruction Composition Output if at the end of the Instruction Composition process. |
| NextCompositionStepToExecute | (InstructionComposition) → InstructionCompositionSteps | Determines the next logical execution step for a given Instruction Composition by evaluating its current execution history and process type. |
7 functions · event · instructioncomposition · reset
| Function | Signature | Description |
|---|---|---|
| Create_AdjustDateInstruction | (date, date, BusinessDayConventionEnum) → AdjustDateInstruction | This function generates the Instruction Composition step instruction necessary to adjust the unadjusted reset date, and adding it to the AdjustResetDateInstruction. Supported business day conventions in this version are: {Following, Preceding, ModFollowing}. Other conventions (e.g., ModPreceding, Nearest) are currently out-of-scope. |
| Create_AdjustPeriodInstruction | (CalculationPeriodBase, date, BusinessDayConventionEnum) → AdjustPeriodInstruction | This function generates the Instruction Composition step instruction necessary to adjust the unadjusted period, and adding it to the AdjustPeriodInstruction. Supported business day conventions in this version are: {Following, Preceding, ModFollowing}. Other conventions (e.g., ModPreceding, Nearest) are currently out-of-scope. |
| Create_CollectFloatingRateOptionInstruction | (InterestRatePayout, date) → CollectFloatingRateOptionInstruction | This function generates the Instruction Composition step instruction necessary to collect the Floating Rate Option data by extracting the floating rate index name from the floating leg. |
| Create_DetermineUnadjustedCalculationPeriodInstruction | (CalculationPeriodDates, date) → DetermineUnadjustedCalculationPeriodInstruction | This function generates the Instruction Composition step instruction necessary to determine the unadjusted calculation period and adding it to the DetermineUnadjustedObservationPeriodInstruction. |
| GetNonBusinessDates | (BusinessCenter, CalculationPeriodBase, date) → date | This function, given the list of business centers applicable and a period or a list of dates, extracts the list of non business dates for the given period or list of dates and returns the corresponding list of non business dates. The function should receive as input a list of dates or a period, but not both at the same time. That is, given either a list of periods or a period (start date + end date), the function will return their non business days. |
| ResetInstructionNextStep | (ResetInstructionState, InstructionCompositionOutput) → ResetInstructionSteps | A state-machine evaluator for the Reset process that identifies the next required instruction by checking for the presence of mandatory data fields across the seven-step lifecycle. |
| UpdateResetCompositionState | (ResetInstructionState, CompositionStepInstructions) → ResetInstructionState | Handles the field-by-field overlay for the Reset process state. |
4 functions · event · position
| Function | Signature | Description |
|---|---|---|
| EvaluatePortfolioState | (Portfolio) → PortfolioState | Function specification to evaluate a portfolio's aggregation parameters and return a new portfolio state containing aggregated positions. |
| FxMarkToMarket | (Trade) → number | Representation of sample mark to market calculation provided by a member firm. |
| InterpolateForwardRate | (SettlementPayout) → number | — |
| IsValidPartyRole | (PartyRole, PartyRoleEnum) → boolean | — |
35 functions · event · qualification
| Function | Signature | Description |
|---|---|---|
| Qualify_Adjustment | (BusinessEvent) → boolean | This qualification function is used to qualify adjustment of the collateral amount when a transaction is repriced. |
| Qualify_Allocation | (BusinessEvent) → boolean | The qualification of allocation event from the fact that (i) the only primitives are split and contract formation (ii) the number of split executions and the number of contract formations are equal. Note that SplitPrimitive type has a condition to check that the post-split quantities sum to the pre-split quantity. Also note that it is expected that an allocation can result in a single contract. |
| Qualify_Cancellation | (BusinessEvent) → boolean | Qualification of an cancellation event. |
| Qualify_CashTransfer | (BusinessEvent) → boolean | The qualification of a cash transfer from the fact that the only component is a cashTransfer. |
| Qualify_ClearedTrade | (BusinessEvent) → boolean | — |
| Qualify_Compression | (BusinessEvent) → boolean | The qualification of a compression event from the fact that (i) the quantityChange primitive exists, and (ii) there are multiple contracts (or contract references) specified in the before state. |
| Qualify_ContractFormation | (BusinessEvent) → boolean | Qualifies a business event as a contract formation from the fact that the only component is a single Contract Formation Primitive. |
| Qualify_CorporateActionDetermined | (BusinessEvent) → boolean | The qualification of the ocurrence of a corporate action form the fact that a corporate action is present in either the observation or the observation history structures. |
| Qualify_CreditEventDetermined | (BusinessEvent) → boolean | The qualification of the ocurrence of a credit event determination from the fact that a credit event is present in either the observation or observation history structures. |
| Qualify_Execution | (BusinessEvent) → boolean | The qualification of an execution event from the fact that the only component is an execution. |
| Qualify_Exercise | (BusinessEvent) → boolean | The qualification of an exercise event from the fact that (i) the only primitive is the exercise, and (ii) the remaining quantity = 0, and (iv) the closedState of the contract is Terminated. |
| Qualify_FullReturn | (BusinessEvent) → boolean | The qualification of a full return event from the fact that (i) a quantityChange primitive and a transfer primitive exists, (ii) an assetPayout exists, (iii) the remaining quantity = 0, and (iv) the closedState of the contract is Terminated. |
| Qualify_Increase | (BusinessEvent) → boolean | The qualification of a increase event from the fact that (i) the intent is Increase when specified, (ii) the associated primitives are the quantityChange and the cash transfer, the (iii) the quantity associated with the contract increases. |
| Qualify_IndexTransition | (BusinessEvent) → boolean | The qualification of an index transition event based on (i) adjustment spread applied and (ii) floating rate index changed. |
| Qualify_Novation | (BusinessEvent) → boolean | The qualification of a novation event from the fact that (i) the intent is Novation when specified, (ii) the primitives quantityChange and a contract formation exist, (iii) the remaining quantity = 0, (iv) the closedState of the contract is Novated, (v) the stepped-in contract has a different contract identifier than the novated contract, (vi) the stepped-in contract has the novation event date and the novation event effective date, and (vii) the contract counterparties have changed. |
| Qualify_OnDemandPayment | (BusinessEvent) → boolean | Qualification of a on-demand payment. |
| Qualify_OnDemandRateChange | (BusinessEvent) → boolean | The qualification of on an-demand rate change event from the fact that the only primitive is the reset. |
| Qualify_OpenOfferClearedTrade | (BusinessEvent) → boolean | — |
| Qualify_PairOff | (BusinessEvent) → boolean | Qualifies an event as a pair-off when all the details of the existing trades are maintained, except for their execution details which are updated to include a package component. This package component must be unique across all trades. |
| Qualify_PartialDelivery | (BusinessEvent) → boolean | Qualification of a partial delivery which constitutes a change in quantity and open with the remaining quantity and termination date. |
| Qualify_PartialNovation | (BusinessEvent) → boolean | The qualification of a novation event from the fact that (i) the intent is Novation when specified, (ii) the primitives quantityChange and contractFormation exist, (iii) the contract quantity/notional has decreased as part of the quantityChange primitive, while (iv) there is a remaining quantity/notional, (v) the stepped-in contract has a different contract identifier than the original contract, (vi) the stepped-in contract has the novation event date and the novation event effective date, and (vii) the contract counterparties have changed. |
| Qualify_PartialTermination | (BusinessEvent) → boolean | The qualification of a partial termination event from the fact that (i) the intent is Partial Termination when specified, (ii) the associated primitives are the quantityChange and the cash transfer, the (iii) the quantity associated with the contract decreases, and (iv) there is an actual remaining quantity. |
| Qualify_PortfolioRebalancing | (BusinessEvent) → boolean | The qualification of a portfolio rebalancing event from the fact that (i) the intent is PortfolioRebalancing, and (ii) the execution primitive exists |
| Qualify_Reallocation | (BusinessEvent) → boolean | The qualification of a reallocation event from the fact that (i) a quantity change primitive exists, (ii) a split primitive exists, and (iii) the intent is Reallocation. |
| Qualify_Renegotiation | (BusinessEvent) → boolean | The qualification of a renegotiation event from the fact that (i) the intent is Renegotiation when specified, and (ii) the associated primitives instructions are the TermsChange, QuantityChange and the cash transfer. |
| Qualify_Reprice | (BusinessEvent) → boolean | This qualification function is used to qualify repricing of a contractual product with an interest rate payout and assetPayout. |
| Qualify_Repurchase | (BusinessEvent) → boolean | The qualification of a repurchase event from the fact that (i) a quantityChange instruction exists, (ii) an assetPayout exists, (iii) the remaining quantity = 0, (iv) the closedState of the contract is Terminated, and (v) the intent of the event is 'Repurchase'. |
| Qualify_Reset | (BusinessEvent) → boolean | The qualification of a reset event from the fact that the only primitive is the reset. |
| Qualify_Roll | (BusinessEvent) → boolean | Qualification of a roll event based on: (i) terminating a single existing trade, (ii) entering into a new trade with the same details as the old trade, except for the effective and termination date where the effective date. The roll qualification does not make any assumption on the resulting quantity which may change compared to the original trade (it may only be partially rolled). The price is also likely different as market conditions may have evolved. |
| Qualify_SecurityTransfer | (BusinessEvent) → boolean | The qualification of a security transfer from the fact that the only component is a securityTransfer. |
| Qualify_Shaping | (BusinessEvent) → boolean | The qualification of a shaping event from the fact that (i) the only primitive is a split where the original trade is closed, (ii) the parties before and after the split remain the same (by contrast with an allocation, for instance) and (iii) the split trades contain a package component in their execution details. This package ties together the resulting shapes trades' identifiers and must be the same across all shaped trades. Note that SplitPrimitive type has a condition to check that the post-split quantities sum to the pre-split quantity. |
| Qualify_StockSplit | (BusinessEvent) → boolean | The qualification of StockSplit business event based on (i) an unchanged before/after currency amount (ii) the same adjustment ratio applied to the before/after cash price and number of units. |
| Qualify_Substitution | (BusinessEvent) → boolean | Qualification of a collateral substitution event. |
| Qualify_Termination | (BusinessEvent) → boolean | The qualification of a termination event from the fact that (i) the intent is Termination when specified, (ii) the only primitive is the quantityChange and there is only one such primitive involved, the (iii) the remaining quantity is null, and (iv) the closedState of the contract is Terminated. |
| Qualify_ValuationUpdate | (BusinessEvent) → boolean | The qualification of a valuation update from the fact that the only component is a valuation. |
6 functions · event · workflow
| Function | Signature | Description |
|---|---|---|
| Create_AcceptedWorkflowStep | (MessageInformation, EventTimestamp, Identifier, Party, Account, WorkflowStep, BusinessEvent) → WorkflowStep | Represents the acceptance of a proposed instruction that results in a workflow step containing a business event, message details, identifiers, event timestamps, parties and accounts. The previous workflow step input must exist to provide workflow lineage. The instruction from the previous workflow step should be used with a [creation BusinessEvent] function to create the input business event passed into this function e.g. PartyChangeInstruction from the previous step is used with Create_PartyChange to produce the business event which should used as an input to this step. |
| Create_AcceptedWorkflowStepFromInstruction | (WorkflowStep) → WorkflowStep | Represents the acceptance of a proposed instruction that results in a workflow step containing a business event, message details, identifiers, event timestamps, parties and accounts. The previous workflow step input must exist to provide workflow lineage. The instruction from the previous workflow step should be used with a [creation BusinessEvent] function to create the input business event passed into this function e.g. PartyChangeInstruction from the previous step is used with Create_PartyChange to produce the business event which should used as an input to this step. |
| Create_ProposedWorkflowStep | (MessageInformation, EventTimestamp, Identifier, Party, Account, WorkflowStep, ActionEnum, EventInstruction, WorkflowStepApproval) → WorkflowStep | Represents the proposal to create a business event that results in a workflow step containing an instruction, message details, identifiers, event timestamps, parties and accounts. The optional previous workflow step input provides workflow lineage to where there has been a correction or cancellation to the proposed step. The action is constrained so that when a previous workflow step is specified, the valid actions are as follows; New -> Correct and Correct -> Cancel. When a previous workflow is not specified, the action must be New. |
| Create_RejectedWorkflowStep | (MessageInformation, EventTimestamp, Identifier, WorkflowStep) → WorkflowStep | Represents the rejection of a proposed instruction that results in a workflow step containing the rejection flag, message details, identifiers, event timestamps, parties and accounts involved in the step. The previous workflow step input must exist to provide workflow lineage. This function will be further developed to provide the reasons for rejection. |
| Create_Workflow | (WorkflowStep) → Workflow | Function to create a Workflow from a list of WorkflowStep. |
| Create_WorkflowStep | (MessageInformation, EventTimestamp, Identifier, Party, Account, WorkflowStep, ActionEnum, BusinessEvent) → WorkflowStep | Function to create a workflow step with a business event and associated details about the message, identifiers, event timestamps, parties and accounts involved in the step. The function should be used when there is already a fully formed business event with the action set to signify that the step is new, or a correction/cancellation of a previous step. The action is constrained so that when a previous workflow step is specified, the valid actions are as follows; New -> New, New -> Correct, New -> Cancel, Correct -> Correct and Correct -> Cancel. When a previous workflow is not specified, the action must be New. |
53 functions · ingest · fpml · confirmation · common
| Function | Signature | Description |
|---|---|---|
| GetFpmlCommodityExercise | () → — | — |
| GetFpmlCommodityPhysicalExercise | () → — | — |
| GetFpmlEquityExercise | () → — | — |
| GetFpmlFxDigitalExercise | () → — | — |
| GetFpmlFxExercise | () → — | — |
| GetFpmlTrade | () → — | — |
| GetMultiplierUnitTypeUnderlyingAsset | () → UnitType | — |
| GetUnitTypeForUnderlyingAsset | () → UnitType | — |
| MapAdjustableOrRelativeDateToObservationTerms | () → ObservationTerms | — |
| MapAmericanExerciseTerms | (ExerciseProcedure) → ExerciseTerms | — |
| MapAssetClassWithScheme | (string, string) → AssetClassEnum | — |
| MapBermudaExerciseTerms | (ExerciseProcedure) → ExerciseTerms | — |
| MapCapacityUnitWithScheme | (string, string) → CapacityUnitEnum | — |
| MapCommodityAmericanExerciseTerms | (ExerciseProcedure) → ExerciseTerms | — |
| MapCommodityEuropeanExerciseTerms | (ExerciseProcedure) → ExerciseTerms | — |
| MapCommodityPhysicalEuropeanExercise | (ExerciseProcedure) → ExerciseTerms | — |
| MapComposite | () → Composite | — |
| MapCurrency | () → string | — |
| MapCurrencyReference | () → string | — |
| MapEquityAmericanExerciseTerms | (ExerciseProcedure) → ExerciseTerms | — |
| MapEquityBermudaExerciseTerms | (ExerciseProcedure) → ExerciseTerms | — |
| MapEquityEuropeanExerciseTerms | (ExerciseProcedure) → ExerciseTerms | — |
| MapEquityMultipleExercise | () → MultipleExercise | — |
| MapEuropeanExerciseTerms | (ExerciseProcedure, Payout) → ExerciseTerms | — |
| MapExerciseProcedure | (boolean, Counterparty) → ExerciseProcedure | — |
| MapExerciseTerms | (boolean, Counterparty) → ExerciseTerms | — |
| MapFinancialUnitWithScheme | (string, string) → FinancialUnitEnum | — |
| MapFxAmericanExerciseTerms | (ExerciseProcedure) → ExerciseTerms | — |
| MapFxDigitalAmericanExercise | (ExerciseProcedure) → ExerciseTerms | — |
| MapFxEuropeanExerciseTerms | (ExerciseProcedure) → ExerciseTerms | — |
| MapFxFeature | () → FxFeature | — |
| MapFxRate | () → FxRate | — |
| MapFxSpotRateSource | () → FxSpotRateSource | — |
| MapInformationSource | () → InformationSource | — |
| MapMessageAction | (boolean, string) → ActionEnum | — |
| MapMoney | () → Money | — |
| MapMultipleExercise | () → MultipleExercise | — |
| MapProductIdentifier | () → ProductIdentifier | — |
| MapProductIdentifierList | () → ProductIdentifier | — |
| MapProductIdType | (string) → ProductIdTypeEnum | — |
| MapProductTaxonomyList | () → ProductTaxonomy | — |
| MapQuanto | () → Quanto | — |
| MapQuotedCurrencyPair | () → QuotedCurrencyPair | — |
| MapQuotedCurrencyPairWithLocation | () → QuotedCurrencyPair | — |
| MapReferenceCurrency | () → string | — |
| MapResolvablePriceQuantityReference | (string) → ResolvablePriceQuantity | — |
| MapStringWithReference | (string, string) → string | — |
| MapStringWithScheme | (string, string) → string | — |
| MapTaxonomySourceEnum | (string) → TaxonomySourceEnum | — |
| MapUnitTypeWithScheme | (string, string) → UnitType | — |
| MapUnscheduledTransferEnumWithScheme | (string, string) → UnscheduledTransferEnum | — |
| MapWeatherUnitWithScheme | (string, string) → WeatherUnitEnum | — |
| StringContains | (string, string) → boolean | — |
71 functions · ingest · fpml · confirmation · datetime
| Function | Signature | Description |
|---|---|---|
| MapAdjustable2 | () → AdjustableDate | — |
| MapAdjustableDate | () → AdjustableDate | — |
| MapAdjustableDate2ToAdjustableDate | () → AdjustableDate | — |
| MapAdjustableDate2ToAdjustableOrRelativeDate | () → AdjustableOrRelativeDate | — |
| MapAdjustableDateOrAdjustedRelativeDate | () → AdjustableOrRelativeDate | — |
| MapAdjustableDateOrRelativeDateSequenceToAdjustableOrAdjustedRelativeDate | (string) → AdjustableOrRelativeDate | — |
| MapAdjustableDates | () → AdjustableDates | — |
| MapAdjustableDatesOrRelativeDateOffset | () → AdjustableRelativeOrPeriodicDates | — |
| MapAdjustableOrAdjustedDateToAdjustableOrAdjustedOrRelativeDate | () → AdjustableOrAdjustedOrRelativeDate | — |
| MapAdjustableOrAdjustedOrRelativeDate | (date) → AdjustableOrAdjustedOrRelativeDate | — |
| MapAdjustableOrRelativeDate | () → AdjustableOrRelativeDate | — |
| MapAdjustableOrRelativeDates | () → AdjustableOrRelativeDates | — |
| MapAdjustableOrRelativeDatesToAdjustableRelativeOrPeriodicDates | () → AdjustableRelativeOrPeriodicDates | — |
| MapAdjustableOrRelativeDateToDividendPaymentDate | () → DividendPaymentDate | — |
| MapAdjustableRelativeOrPeriodicDates | () → AdjustableRelativeOrPeriodicDates | — |
| MapAdjustableRelativeOrPeriodicDates2 | () → AdjustableRelativeOrPeriodicDates | — |
| MapAdjustedDateToAdjustableDate | (date) → AdjustableDate | — |
| MapAdjustedDateToAdjustableOrRelativeDate | (date, string) → AdjustableOrRelativeDate | — |
| MapAdjustedRelativeDateOffset | () → AdjustedRelativeDateOffset | — |
| MapAdjustedRelativeDateReference | () → AdjustableOrRelativeDate | — |
| MapBusinessCenter | () → BusinessCenter | — |
| MapBusinessCenterOrBusinessCenterReference | () → BusinessCenters | — |
| MapBusinessCenterReference | () → BusinessCenters | — |
| MapBusinessCenters | () → BusinessCenters | — |
| MapBusinessCenterTime | () → BusinessCenterTime | — |
| MapBusinessDayAdjustments | () → BusinessDayAdjustments | — |
| MapBusinessDayAdjustmentsReference | () → BusinessDayAdjustments | — |
| MapCalculationPeriodFrequency | () → CalculationPeriodFrequency | — |
| MapCommodityBusinessCalendarEnumWithScheme | (string, string) → CommodityBusinessCalendarEnum | — |
| MapCommodityBusinessCalendarToBusinessCenters | () → BusinessCenters | — |
| MapCommodityCalculationPeriodFrequency | () → CalculationPeriodFrequency | — |
| MapCommodityCalculationPeriods | () → CalculationPeriodDates | — |
| MapCommodityCalculationPeriodsScheduleToCalculationPeriodFrequency | () → CalculationPeriodFrequency | — |
| MapCommodityDeliveryDates | () → Offset | — |
| MapCommodityPriceDatesToPricingDates | () → PricingDates | — |
| MapCommodityRelativePaymentDates | () → PaymentDates | — |
| MapCommoditySwapNonPeriodicPaymentDates | () → PaymentDates | — |
| MapCommoditySwapPaymentDateSchedule | () → PaymentDateSchedule | — |
| MapDateListToAdjustableDates | (date) → AdjustableDates | — |
| MapDateListToAdjustableOrRelativeDates | (date) → AdjustableOrRelativeDates | — |
| MapDateOffsetToRelativeDateOffset | () → RelativeDateOffset | — |
| MapDateReference | () → date | — |
| MapDateReferenceToDividendPaymentDate | () → DividendPaymentDate | — |
| MapDateToAdjustableDate | (date) → AdjustableDate | — |
| MapDateToAdjustableOrRelativeDate | (date) → AdjustableOrRelativeDate | — |
| MapDateWithId | () → date | — |
| MapDayDistributionEnumWithScheme | (string, string) → DayDistributionEnum | — |
| MapDeliveryDatesToPeriodMultiplier | () → int | — |
| MapDividendPaymentDate | () → DividendPaymentDate | — |
| MapEventTimestamp | (zonedDateTime) → EventTimestamp | — |
| MapFpmlDateTimeListToDateTimeList | () → DateTimeList | Creates a ZonedDateTime from the provided ZonedDateTime |
| MapFxFixingDate | () → FxFixingDate | — |
| MapIdentifiedDate | () → date | — |
| MapOffset | () → Offset | — |
| MapParametricDates | () → ParametricDates | — |
| MapPaymentDatesReference | () → PaymentDates | — |
| MapPerformanceValuationDates | () → PerformanceValuationDates | — |
| MapPeriod | () → Period | — |
| MapPeriodicDates | () → PeriodicDates | — |
| MapPeriodicPaymentToCalculationPeriodFrequency | () → CalculationPeriodFrequency | — |
| MapPeriodicPaymentToPaymentDates | () → PaymentDates | — |
| MapPeriodToFrequency | () → Frequency | — |
| MapRelativeDateOffset | () → RelativeDateOffset | — |
| MapRelativeDateOffsetToAdjustedRelativeDateOffset | () → AdjustedRelativeDateOffset | — |
| MapRelativeDates | () → RelativeDates | — |
| MapRelativeDateSequenceToAdjustedRelativeDateOffset | () → AdjustedRelativeDateOffset | — |
| MapRelativeDateSequenceToRelativeDates | () → RelativeDates | — |
| MapUnadjustedDateToAdjustableDate | (date) → AdjustableDate | — |
| MapUnadjustedDateToAdjustableOrRelativeDate | (date, string) → AdjustableOrRelativeDate | — |
| MapUnadjustedDateToDividendPaymentDate | () → DividendPaymentDate | — |
| MapZoneDateTimeToDate | (zonedDateTime) → date | — |
6 functions · ingest · fpml · confirmation · header
| Function | Signature | Description |
|---|---|---|
| MapIssuerTradeIdModelToIdentifier | () → Identifier | — |
| MapPartyTradeIdentifierToTradeIdentifierList | () → TradeIdentifier | — |
| MapTradeIdentifierList | () → TradeIdentifier | — |
| MapTradeIdentifierSequenceToTradeIdentifier | () → TradeIdentifier | — |
| MapTradeIdToAssignedIdentifier | (int) → AssignedIdentifier | — |
| MapTradeIdToIdentifierType | () → TradeIdentifierTypeEnum | — |
18 functions · ingest · fpml · confirmation · legal
| Function | Signature | Description |
|---|---|---|
| MapConfirmationLegalAgreement | (Counterparty) → LegalAgreement | — |
| MapContractDetails | (Counterparty) → ContractDetails | — |
| MapContractualDefinitionsEnumWithScheme | () → ContractualDefinitionsEnum | — |
| MapContractualParty | (Counterparty) → Party | — |
| MapContractualSupplementTypeEnumWithScheme | () → ContractualSupplementTypeEnum | — |
| MapCreditSupportAgreement | (Counterparty) → LegalAgreement | — |
| MapCreditSupportAgreementTypeEnumWithScheme | () → CreditSupportAgreementTypeEnum | — |
| MapGoverningLaw | () → GoverningLawEnum | — |
| MapLegalAgreement | (date, Counterparty, AgreementName, int) → LegalAgreement | — |
| MapLegalAgreementList | (Counterparty) → LegalAgreement | — |
| MapMasterAgreement | (Counterparty) → LegalAgreement | — |
| MapMasterAgreementTypeEnumWithScheme | () → MasterAgreementTypeEnum | — |
| MapMasterConfirmation | (Counterparty) → LegalAgreement | — |
| MapMasterConfirmationAnnexTypeEnumWithScheme | () → MasterConfirmationAnnexTypeEnum | — |
| MapMasterConfirmationTypeEnumWithScheme | () → MasterConfirmationTypeEnum | — |
| MapMatrixTermEnumWithScheme | () → MatrixTermEnum | — |
| MapMatrixTypeEnumWithScheme | () → MatrixTypeEnum | — |
| MapOtherAgreements | (Counterparty) → LegalAgreement | — |
13 functions · ingest · fpml · confirmation · message
| Function | Signature | Description |
|---|---|---|
| Ingest_FpmlConfirmationToTradeState | () → TradeState | — |
| Ingest_FpmlConfirmationToWorkflowStep | () → WorkflowStep | — |
| MapClearingConfirmedToWorkflowStep | () → WorkflowStep | — |
| MapConfirmationAgreedToTradeState | () → TradeState | — |
| MapDataDocumentToTradeState | () → TradeState | — |
| MapExecutionAdviceRetractedToWorkflowStep | () → WorkflowStep | — |
| MapExecutionAdviceToWorkflowStep | () → WorkflowStep | — |
| MapExecutionNotificationToTradeState | () → TradeState | — |
| MapExecutionNotificationToWorkflowStep | () → WorkflowStep | — |
| MapRequestClearingToTradeState | () → TradeState | — |
| MapRequestClearingToWorkflowStep | () → WorkflowStep | — |
| MapRequestConfirmationToTradeState | () → TradeState | — |
| MapTradeChangeAdviceToWorkflowStep | () → WorkflowStep | — |
99 functions · ingest · fpml · confirmation · other
| Function | Signature | Description |
|---|---|---|
| MapAccountTypeEnum | (string) → AccountTypeEnum | — |
| MapAssetClassEnum | (string) → AssetClassEnum | — |
| MapAveragingCalculationMethodEnum | (string) → AveragingCalculationMethodEnum | — |
| MapAveragingInOutEnum | (string) → AveragingInOutEnum | — |
| MapAveragingWeightingMethodEnum | (string) → AveragingWeightingMethodEnum | — |
| MapBusinessDayConventionEnum | (string) → BusinessDayConventionEnum | — |
| MapCalculationMethodEnum | (string) → CalculationMethodEnum | — |
| MapCallingPartyEnum | (string) → CallingPartyEnum | — |
| MapCapacityUnitEnum | (string) → CapacityUnitEnum | — |
| MapCommodityBusinessCalendarEnum | (string) → CommodityBusinessCalendarEnum | — |
| MapCommodityReferencePriceEnum | (string) → CommodityReferencePriceEnum | — |
| MapCompoundingMethodEnum | (string) → CompoundingMethodEnum | — |
| MapContractualDefinitionsEnum | (string) → ContractualDefinitionsEnum | — |
| MapContractualSupplementTypeEnum | (string) → ContractualSupplementTypeEnum | — |
| MapCreditLimitTypeEnum | (string) → CreditLimitTypeEnum | — |
| MapCreditRatingAgencyEnum | (string) → CreditRatingAgencyEnum | — |
| MapCreditSeniorityEnum | (string) → CreditSeniorityEnum | — |
| MapCreditSupportAgreementTypeEnum | (string) → CreditSupportAgreementTypeEnum | — |
| MapCsaTypeEnum | (string) → CsaTypeEnum | — |
| MapDayCountFractionEnum | (string) → DayCountFractionEnum | — |
| MapDayDistributionEnum | (string) → DayDistributionEnum | — |
| MapDayOfWeekEnum | (string) → DayOfWeekEnum | — |
| MapDayTypeEnum | (string) → DayTypeEnum | — |
| MapDeliveryMethodEnum | (string) → DeliveryMethodEnum | — |
| MapDeterminationMethodEnum | (string) → DeterminationMethodEnum | — |
| MapDiscountingTypeEnum | (string) → DiscountingTypeEnum | — |
| MapDividendAmountTypeEnum | (string) → DividendAmountTypeEnum | — |
| MapDividendCompositionEnum | (string) → DividendCompositionEnum | — |
| MapDividendDateReferenceEnum | (string) → DividendDateReferenceEnum | — |
| MapDividendEntitlementEnum | (string) → DividendEntitlementEnum | — |
| MapDividendPeriodEnum | (string) → DividendPeriodEnum | — |
| MapEntityTypeEnum | (string) → EntityTypeEnum | — |
| MapExecutionTypeEnum | (string) → ExecutionTypeEnum | — |
| MapExpirationTimeTypeEnum | (string) → ExpirationTimeTypeEnum | — |
| MapFinancialUnitEnum | (string) → FinancialUnitEnum | — |
| MapFloatingRateIndexEnum | (string) → FloatingRateIndexEnum | — |
| MapFPVFinalPriceElectionFallbackEnum | (string) → FPVFinalPriceElectionFallbackEnum | — |
| MapFrequencyToPeriodMultiplier | (string) → int | — |
| MapGoverningLawEnum | (string) → GoverningLawEnum | — |
| MapIndexAnnexSourceEnum | (string) → IndexAnnexSourceEnum | — |
| MapIndexEventConsequenceEnum | (string) → IndexEventConsequenceEnum | — |
| MapInflationRateIndexEnum | (string) → InflationRateIndexEnum | — |
| MapInformationProviderEnum | (string) → InformationProviderEnum | — |
| MapInterestShortfallCapEnum | (string) → InterestShortfallCapEnum | — |
| MapInterpolationMethodEnum | (string) → InterpolationMethodEnum | — |
| MapLegalAgreementPublisherEnum | (string) → LegalAgreementPublisherEnum | — |
| MapLengthUnitEnum | (string) → LengthUnitEnum | — |
| MapMarketDisruptionEnum | (string) → MarketDisruptionEnum | — |
| MapMasterAgreementTypeEnum | (string) → MasterAgreementTypeEnum | — |
| MapMasterConfirmationAnnexTypeEnum | (string) → MasterConfirmationAnnexTypeEnum | — |
| MapMasterConfirmationTypeEnum | (string) → MasterConfirmationTypeEnum | — |
| MapMatrixTermEnum | (string) → MatrixTermEnum | — |
| MapMatrixTypeEnum | (string) → MatrixTypeEnum | — |
| MapNationalizationOrInsolvencyOrDelistingEventEnum | (string) → NationalizationOrInsolvencyOrDelistingEventEnum | — |
| MapNaturalPersonRoleEnum | (string) → NaturalPersonRoleEnum | — |
| MapNegativeInterestRateTreatmentEnum | (string) → NegativeInterestRateTreatmentEnum | — |
| MapNonCashDividendTreatmentEnum | (string) → NonCashDividendTreatmentEnum | — |
| MapNotionalAdjustmentEnum | (string) → NotionalAdjustmentEnum | — |
| MapObligationCategoryEnum | (string) → ObligationCategoryEnum | — |
| MapObservationPeriodDatesEnum | (string) → ObservationPeriodDatesEnum | — |
| MapOptionTypeEnum | (string) → OptionTypeEnum | — |
| MapPartyDeterminationEnum | (string) → PartyDeterminationEnum | — |
| MapPartyIdentifierTypeEnum | (string) → PartyIdentifierTypeEnum | — |
| MapPartyRoleEnum | (string) → PartyRoleEnum | — |
| MapPayerReceiverEnum | (string) → PayerReceiverEnum | — |
| MapPayRelativeToEnum | (string) → PayRelativeToEnum | — |
| MapPeriodEnum | (string) → PeriodEnum | — |
| MapPeriodExtendedEnum | (string) → PeriodExtendedEnum | — |
| MapPeriodTimeEnum | (string) → PeriodTimeEnum | — |
| MapPremiumTypeEnum | (string) → PremiumTypeEnum | — |
| MapPriceExpressionEnum | (string) → PriceExpressionEnum | — |
| MapPutCallEnum | (string) → PutCallEnum | — |
| MapQuantifierEnum | (string) → QuantifierEnum | — |
| MapQuotationRateTypeEnum | (string) → QuotationRateTypeEnum | — |
| MapQuotationSideEnum | (string) → QuotationSideEnum | — |
| MapQuotationStyleEnum | (string) → QuotationStyleEnum | — |
| MapQuoteBasisEnum | (string) → QuoteBasisEnum | — |
| MapRateTreatmentEnum | (string) → RateTreatmentEnum | — |
| MapRealisedVarianceMethodEnum | (string) → RealisedVarianceMethodEnum | — |
| MapResetRelativeToEnum | (string) → ResetRelativeToEnum | — |
| MapResourceTypeEnum | (string) → ResourceTypeEnum | — |
| MapRestructuringEnum | (string) → RestructuringEnum | — |
| MapReturnTypeEnum | (string) → ReturnTypeEnum | — |
| MapRollConventionEnum | (string) → RollConventionEnum | — |
| MapRoundingDirectionEnum | (string) → RoundingDirectionEnum | — |
| MapSettledEntityMatrixSourceEnum | (string) → SettledEntityMatrixSourceEnum | — |
| MapSettlementRateOptionEnum | (string) → SettlementRateOptionEnum | — |
| MapSettlementTypeEnum | (string) → SettlementTypeEnum | — |
| MapShareExtraordinaryEventEnum | (string) → ShareExtraordinaryEventEnum | — |
| MapSpreadScheduleTypeEnum | (string) → SpreadScheduleTypeEnum | — |
| MapStubPeriodTypeEnum | (string) → StubPeriodTypeEnum | — |
| MapTelephoneTypeEnum | (string) → TelephoneTypeEnum | — |
| MapTimeTypeEnum | (string) → TimeTypeEnum | — |
| MapTriggerTimeTypeEnum | (string) → TriggerTimeTypeEnum | — |
| MapTriggerTypeEnum | (string) → TriggerTypeEnum | — |
| MapUnscheduledTransferEnum | (string) → UnscheduledTransferEnum | — |
| MapValuationMethodEnum | (string) → ValuationMethodEnum | — |
| MapWeatherUnitEnum | (string) → WeatherUnitEnum | — |
| MapWeeklyRollConventionEnum | (string) → WeeklyRollConventionEnum | — |
46 functions · ingest · fpml · confirmation · party
| Function | Signature | Description |
|---|---|---|
| FlipPayerAndReceiver | (PayerReceiver) → PayerReceiver | — |
| GetPartyPersonForRelatedPerson | () → — | — |
| MapAddress | () → Address | — |
| MapAncillaryParty | (AncillaryRoleEnum, string, string, Counterparty) → AncillaryParty | — |
| MapAncillaryPartyList | (Counterparty) → AncillaryParty | — |
| MapAssetAncillaryPartyRole | (Party, AssetAncillaryPartyRoleEnum) → AssetAncillaryPartyRole | — |
| MapAssetPartyRole | (Party, AssetPartyRoleEnum) → AssetPartyRole | — |
| MapBusinessUnit | () → BusinessUnit | — |
| MapBuyerSeller | (Counterparty) → BuyerSeller | — |
| MapBuyerSellerModelToCounterpartyList | () → Counterparty | — |
| MapCalculationAgentIndependentToAncillaryParty | () → AncillaryParty | — |
| MapCancelableProvisionToAncillaryParty | (Counterparty) → AncillaryParty | — |
| MapContactInformation | () → ContactInformation | — |
| MapContactInfoToContactInformation | () → ContactInformation | — |
| MapCounterparty | (CounterpartyRoleEnum) → Counterparty | — |
| MapCounterpartyList | () → Counterparty | — |
| MapCounterpartyRoleEnum | (string, Counterparty) → CounterpartyRoleEnum | — |
| MapCountryToContactInformation | () → ContactInformation | — |
| MapEarlyTerminationProvisionToAncillaryParty | (Counterparty) → AncillaryParty | — |
| MapEntityIdentifier | () → EntityIdentifier | — |
| MapEntityIdentifierTypeEnum | (string) → EntityIdentifierTypeEnum | — |
| MapExchangeIdToAssetParty | () → Party | — |
| MapExchangeIdToLegalEntity | () → LegalEntity | — |
| MapExerciseProcedureToAncillaryParty | (Counterparty) → AncillaryParty | — |
| MapExtendibleProvisionToAncillaryParty | (Counterparty) → AncillaryParty | — |
| MapLegalEntity | () → LegalEntity | — |
| MapLegalEntityReference | () → LegalEntity | — |
| MapMultipleCounterpartyRoleEnum | (string, string, Counterparty) → CounterpartyRoleEnum | — |
| MapNaturalPerson | () → NaturalPerson | — |
| MapNaturalPersonRoleList | () → NaturalPersonRole | — |
| MapNaturalPersonRoleReference | (string) → NaturalPerson | — |
| MapOptionalEarlyTerminationToAncillaryParty | (Counterparty) → AncillaryParty | — |
| MapParty | () → Party | — |
| MapPartyIdentifier | (string, string) → PartyIdentifier | — |
| MapPartyList | () → Party | — |
| MapPartyReference | (string) → Party | — |
| MapPartyRoleList | () → PartyRole | — |
| MapPayerAsSellerAndReceiverAsBuyer | (Counterparty) → BuyerSeller | — |
| MapPayerReceiver | (Counterparty) → PayerReceiver | — |
| MapPayerReceiverModelToCounterpartyList | () → Counterparty | — |
| MapPersonIdentifier | () → PersonIdentifier | — |
| MapRelatedPartyToPartyRole | () → PartyRole | — |
| MapRelatedPersonToNaturalPersonRole | () → NaturalPersonRole | — |
| MapSellerAsPayerAndBuyerAsReceiver | (Counterparty) → PayerReceiver | — |
| MapSwaptionPhysicalSettlementToAncillaryParty | () → AncillaryParty | — |
| MapTelephoneNumber | () → TelephoneNumber | — |
26 functions · ingest · fpml · confirmation · payment
| Function | Signature | Description |
|---|---|---|
| MapClassifiablePaymentListToTransferStateList | (UnscheduledTransferEnum) → TransferState | — |
| MapCommodityPremiumListToTransferStateList | (UnscheduledTransferEnum) → TransferState | — |
| MapEquityPremiumListToTransferStateList | (UnscheduledTransferEnum) → TransferState | — |
| MapEquityPremiumToTransferState | (UnscheduledTransferEnum) → TransferState | — |
| MapFxOptionPremiumListToTransferStateList | (UnscheduledTransferEnum) → TransferState | — |
| MapInitialPaymentToTransferState | (UnscheduledTransferEnum) → TransferState | — |
| MapMoneyToTransferCashAsset | () → Asset | — |
| MapMoneyToTransferQuantity | () → NonNegativeQuantity | — |
| MapNonNegativePaymentToTransferState | (UnscheduledTransferEnum) → TransferState | — |
| MapPaymentListToTransferStateList | (UnscheduledTransferEnum) → TransferState | — |
| MapPaymentToPartyReferencePayerReceiver | () → PartyReferencePayerReceiver | — |
| MapPaymentToTransferState | (UnscheduledTransferEnum) → TransferState | — |
| MapPremiumListToTransferStateList | (UnscheduledTransferEnum) → TransferState | — |
| MapPrincipalPayerReceiver | (Counterparty) → PayerReceiver | — |
| MapPrincipalPayment | (Counterparty) → PrincipalPayment | — |
| MapPrincipalPaymentDate | () → AdjustableDate | — |
| MapPrincipalPayments | (Counterparty) → PrincipalPayments | — |
| MapPrincipalPaymentSchedule | (Counterparty) → PrincipalPaymentSchedule | — |
| MapReturnSwapAdditionalPaymentListToTransferStateList | (UnscheduledTransferEnum) → TransferState | — |
| MapReturnSwapAdditionalPaymentToTransferState | (UnscheduledTransferEnum) → TransferState | — |
| MapSimplePaymentToTransferState | (UnscheduledTransferEnum) → TransferState | — |
| MapSinglePaymentListToTransferStateList | (UnscheduledTransferEnum) → TransferState | — |
| MapSinglePaymentToTransferState | (UnscheduledTransferEnum) → TransferState | — |
| MapTransferCashAsset | () → Asset | — |
| MapTransferQuantity | () → NonNegativeQuantity | — |
| MapTransferStateList | () → TransferState | — |
124 functions · ingest · fpml · confirmation · pricequantity
| Function | Signature | Description |
|---|---|---|
| BasketConstituentKeyValue | () → string | — |
| CreateAssetKey | (string) → string | — |
| CreateBasketConstituentWithAddress | (string) → BasketConstituent | — |
| CreateBasketConstituentWithLocation | (BasketConstituent, string) → BasketConstituent | — |
| CreateInterestRateIndexWithAddress | (string) → InterestRateIndex | — |
| CreateInterestRateIndexWithLocation | (InterestRateIndex, string) → InterestRateIndex | — |
| CreateKey | (string, string) → string | — |
| CreateKeyForQuotedCurrencyPair | (string) → string | — |
| CreateObservableKey | (string) → string | — |
| CreateObservableKeyForQuotedCurrencyPair | () → string | — |
| CreateObservableWithAddress | (string) → Observable | — |
| CreateObservableWithLocation | (Observable, string) → Observable | — |
| CreatePriceKey | (string) → string | — |
| CreatePriceWithAddress | (string) → PriceSchedule | — |
| CreatePriceWithLocation | (PriceSchedule, string) → PriceSchedule | — |
| CreateQuantityKey | (string) → string | — |
| CreateQuantityWithAddress | (string) → NonNegativeQuantitySchedule | — |
| CreateQuantityWithLocation | (NonNegativeQuantitySchedule, string) → NonNegativeQuantitySchedule | — |
| CreateQuotedCurrencyPairKey | () → string | — |
| GetFpmlExchangedCurrency | () → — | — |
| MapAsset | () → Asset | — |
| MapAssetCommodity | () → Asset | — |
| MapAssetIdentifierList | () → AssetIdentifier | — |
| MapAssetIdType | (string) → AssetIdTypeEnum | — |
| MapAssetToObservableWithAddress | () → Observable | — |
| MapAssetToObservableWithLocation | () → Observable | — |
| MapBasket | () → Basket | — |
| MapBasketConstituentQuantity | () → NonNegativeQuantitySchedule | — |
| MapBasketConstituentWithAddress | () → BasketConstituent | — |
| MapBasketConstituentWithLocation | () → BasketConstituent | — |
| MapCapRateScheduleToPriceWithLocation | () → PriceSchedule | — |
| MapCapRateScheduleWithAddress | () → StrikeSchedule | — |
| MapCommmodityFixedPriceScheduleToPriceSchedule | () → PriceSchedule | — |
| MapCommmodityFixedPriceToPriceSchedule | () → PriceSchedule | — |
| MapCommodityClassificationListToObservableCommodity | () → Observable | — |
| MapCommodityClassificationListToObservableCommodityWithAddress | () → Observable | — |
| MapCommodityClassificationListToObservableCommodityWithLocation | () → Observable | — |
| MapCommodityClassificationOrdinal | (string) → int | — |
| MapCommodityClassificationToTaxonomy | () → Taxonomy | — |
| MapCommodityFixedLegToPriceWithAddress | () → PriceSchedule | — |
| MapCommodityFixedLegToPriceWithLocation | () → PriceSchedule | — |
| MapCommodityFixedPhysicalQuantityToQuantityListWithLocation | () → NonNegativeQuantitySchedule | — |
| MapCommodityFixedPhysicalQuantityToQuantityWithAddress | () → NonNegativeQuantitySchedule | — |
| MapCommodityNotionalQuantityToQuantityListWithLocation | (number) → NonNegativeQuantitySchedule | — |
| MapCommodityNotionalQuantityToQuantityWithAddress | (number) → NonNegativeQuantitySchedule | — |
| MapCommodityNotionalQuantityToQuantityWithLocation | (number, number) → NonNegativeQuantitySchedule | — |
| MapCommodityOptionStrikePriceSchedule | (date) → DatedValue | — |
| MapCommoditySpreadToPriceWithAddress | () → PriceSchedule | — |
| MapCommoditySpreadToPriceWithLocation | (CapacityUnitEnum) → PriceSchedule | — |
| MapCommodityTotalNotionalQuantityToQuantityWithAddress | (number) → NonNegativeQuantitySchedule | — |
| MapCommodityTotalNotionalQuantityToQuantityWithLocation | (number) → NonNegativeQuantitySchedule | — |
| MapCurrencyAmountToQuantity | (number, FinancialUnitEnum) → NonNegativeQuantitySchedule | — |
| MapCurrencyToAssetCash | () → Asset | — |
| MapCurrencyToObservableCashWithAddress | () → Observable | — |
| MapCurrencyToObservableCashWithLocation | () → Observable | — |
| MapEquityDerivativeBaseNotionalQuantityLocation | () → NonNegativeQuantitySchedule | — |
| MapEquityDerivativeBaseQuantityWithAddress | () → NonNegativeQuantitySchedule | — |
| MapEquityDerivativeBaseQuantityWithLocation | (FinancialUnitEnum) → NonNegativeQuantitySchedule | — |
| MapEquityIndex | () → Index | — |
| MapExchangeRateToPrice | () → PriceSchedule | — |
| MapFixedOrFloatingCalculationAmountToQuantityListWithAddress | () → NonNegativeQuantitySchedule | — |
| MapFixedOrFloatingCalculationAmountToQuantityListWithLocation | () → NonNegativeQuantitySchedule | — |
| MapFixedRateScheduleToPriceWithAddress | () → PriceSchedule | — |
| MapFixedRateScheduleToPriceWithLocation | () → PriceSchedule | — |
| MapFixedRateToPriceScheduleWithAddress | (number) → PriceSchedule | — |
| MapFixedRateToPriceScheduleWithLocation | (number) → PriceSchedule | — |
| MapFloatingRateIndex | () → FloatingRateIndex | — |
| MapFloatingRateIndexToRateOptionObservableWithLocation | () → Observable | — |
| MapFloatingRateIndexToRateOptionWithAddress | () → InterestRateIndex | — |
| MapFloatingRateIndexToRateOptionWithLocation | () → InterestRateIndex | — |
| MapFloatingRateMultiplierScheduleToPriceWithLocation | () → PriceSchedule | — |
| MapFloorRateScheduleToPriceWithLocation | () → PriceSchedule | — |
| MapFloorRateScheduleWithAddress | () → StrikeSchedule | — |
| MapFxCoreDetailsModelPriceQuantity | () → PriceQuantity | — |
| MapFxCoreDetailsModelPriceWithAddress | () → PriceSchedule | — |
| MapFxCoreDetailsModelPriceWithLocation | () → PriceSchedule | — |
| MapFxCoreDetailsModelQuantityWithAddress | () → NonNegativeQuantitySchedule | — |
| MapFxCoreDetailsModelQuantityWithLocation | () → NonNegativeQuantitySchedule | — |
| MapFxLinkedNotionalScheduleToQuantityWithAddress | () → NonNegativeQuantitySchedule | — |
| MapFxLinkedNotionalScheduleToQuantityWithLocation | () → NonNegativeQuantitySchedule | — |
| MapFxOptionQuantityWithAddress | () → NonNegativeQuantitySchedule | — |
| MapFxOptionToQuantityListWithLocation | () → NonNegativeQuantitySchedule | — |
| MapIdentifiedAssetToAssetListedDerivative | () → Asset | — |
| MapIdentifiedAssetToAssetLoan | () → Asset | — |
| MapIdentifiedAssetToAssetSecurity | (SecurityTypeEnum) → Asset | — |
| MapIdentifiedAssetToSecurity | (SecurityTypeEnum, string) → Security | — |
| MapIndexIdToAssetIdentifier | () → AssetIdentifier | — |
| MapIndexNameToAssetIdentifier | () → AssetIdentifier | — |
| MapInflationIndex | () → InflationIndex | — |
| MapInterestRatePriceSchedule | (number, ArithmeticOperationEnum) → PriceSchedule | — |
| MapMoneyToQuantity | () → NonNegativeQuantitySchedule | — |
| MapNetPriceToPriceWithLocation | (FinancialUnitEnum) → PriceSchedule | — |
| MapNonNegativeMoneyToQuantity | () → NonNegativeQuantitySchedule | — |
| MapNonNegativeMoneyToQuantityWithAddress | (string) → NonNegativeQuantitySchedule | — |
| MapNonNegativeMoneyToQuantityWithLocation | (string) → NonNegativeQuantitySchedule | — |
| MapNonNegativeStepListToDatedValueList | () → NonNegativeDatedValue | — |
| MapNotionalAmountToQuantityWithAddress | (number) → NonNegativeQuantitySchedule | — |
| MapNotionalAmountToQuantityWithLocation | (number) → NonNegativeQuantitySchedule | — |
| MapNotionalAmountWithIdToQuantityWithAddress | (number, string) → NonNegativeQuantitySchedule | — |
| MapNotionalAmountWithIdToQuantityWithLocation | (number, string, FinancialUnitEnum) → NonNegativeQuantitySchedule | — |
| MapNotionalStepScheduleToQuantityWithAddress | () → NonNegativeQuantitySchedule | — |
| MapNotionalStepScheduleToQuantityWithLocation | () → NonNegativeQuantitySchedule | — |
| MapNumberOfOptionsAndOptionEntitlementToQuantity | (number, FinancialUnitEnum, number) → NonNegativeQuantitySchedule | — |
| MapOpenUnitsToQuantity | (number, FinancialUnitEnum) → NonNegativeQuantitySchedule | — |
| MapOptionBaseExtendedDervivedQuantityWithLocation | () → NonNegativeQuantitySchedule | — |
| MapOptionBaseExtendedQuantityListWithAddress | () → NonNegativeQuantitySchedule | — |
| MapOptionBaseExtendedQuantityWithLocation | () → NonNegativeQuantitySchedule | — |
| MapOptionStrikePrice | (number, number, UnitType, UnitType) → OptionStrike | — |
| MapOptionStrikeReferenceSwapCurve | () → OptionStrike | — |
| MapQuantityStepListToDatedValueList | () → NonNegativeDatedValue | — |
| MapQuantityUnitAmountToQuantity | (number, number) → NonNegativeQuantitySchedule | — |
| MapQuotedCurrencyPairToObservableWithAddress | () → Observable | — |
| MapQuotedCurrencyPairToObservableWithLocation | () → Observable | — |
| MapRateOptionToObservableWithLocation | () → Observable | — |
| MapRateOptionWithAddress | () → InterestRateIndex | — |
| MapRateOptionWithLocation | () → InterestRateIndex | — |
| MapScheduleToDatedValueList | () → NonNegativeDatedValue | — |
| MapScheduleToInterestRatePriceSchedule | (ArithmeticOperationEnum) → PriceSchedule | — |
| MapSpreadScheduleToPriceWithLocation | () → PriceSchedule | — |
| MapSpreadScheduleWithAddress | () → SpreadSchedule | — |
| MapSwapOptionStrikePrice | (number, number) → OptionStrike | — |
| MapUnderlyerToObservableWithAddress | () → Observable | — |
| MapUnderlyerToObservableWithLocation | () → Observable | — |
| ObservableKeyValue | () → string | — |
7 functions · ingest · fpml · confirmation · product · bondoption
| Function | Signature | Description |
|---|---|---|
| MapBondOptionAncillaryPartyList | (Counterparty) → AncillaryParty | — |
| MapBondOptionCounterpartyList | () → Counterparty | — |
| MapBondOptionEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapBondOptionNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapBondOptionPayout | (Counterparty) → Payout | — |
| MapBondOptionPriceQuantityList | () → PriceQuantity | — |
| MapBondOptionStrikeToOptionStrike | () → OptionStrike | — |
5 functions · ingest · fpml · confirmation · product · brokerequityoption
| Function | Signature | Description |
|---|---|---|
| MapBrokerEquityOptionCounterpartyList | () → Counterparty | — |
| MapBrokerEquityOptionEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapBrokerEquityOptionNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapBrokerEquityOptionPayout | (Counterparty) → Payout | — |
| MapBrokerEquityOptionPriceQuantityList | () → PriceQuantity | — |
7 functions · ingest · fpml · confirmation · product · capfloor
| Function | Signature | Description |
|---|---|---|
| MapCapFloorAncillaryPartyList | (Counterparty) → AncillaryParty | — |
| MapCapfloorCalculationPeriodAmountToPriceList | () → PriceSchedule | — |
| MapCapFloorCounterpartyList | () → Counterparty | — |
| MapCapFloorEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapCapFloorNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapCapfloorPriceQuantity | () → PriceQuantity | — |
| MapCapFloorPriceQuantityList | () → PriceQuantity | — |
6 functions · ingest · fpml · confirmation · product · commodityforward
| Function | Signature | Description |
|---|---|---|
| MapCommodityForwardAccountPartyReference | () → Party | — |
| MapCommodityForwardCounterpartyList | () → Counterparty | — |
| MapCommodityForwardEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapCommodityForwardNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapCommodityForwardPayout | (Counterparty) → Payout | — |
| MapCommodityForwardPriceQuantityList | () → PriceQuantity | — |
14 functions · ingest · fpml · confirmation · product · commodityoption
| Function | Signature | Description |
|---|---|---|
| CalculateCommodityCalculationPeriods | (date, date) → date | — |
| CollectAllCalculationPeriods | () → — | — |
| CollectAllCalculationPeriodsSchedules | () → — | — |
| ExtractCommodityCalculationPeriods | () → date | — |
| ExtractCommodityCalculationPeriodsFromHref | (string) → — | — |
| ExtractCommodityCalculationPeriodsScheduleFromHref | (string) → — | — |
| MapCommodityOptionCounterpartyList | () → Counterparty | — |
| MapCommodityOptionEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapCommodityOptionNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapCommodityOptionPayout | (Counterparty) → Payout | — |
| MapCommodityOptionPriceQuantityList | () → PriceQuantity | — |
| MapCommodityOptionToObservationTerms | () → ObservationTerms | — |
| MapCommodityOptionToStrikePriceDatedValues | () → DatedValue | — |
| MapCommodityPricingDatesToObservationDates | () → ObservationDates | — |
23 functions · ingest · fpml · confirmation · product · commodityswap
| Function | Signature | Description |
|---|---|---|
| GetFpmlPayer | () → — | — |
| GetFpmlReceiver | () → — | — |
| MapAveragingCalculation | () → AveragingCalculation | — |
| MapCoalPhysicalLegToPriceQuantity | () → PriceQuantity | — |
| MapCoalPhysicalLegToSettlementPayout | (Counterparty) → Payout | — |
| MapCommoditySwapAccountPartyReference | () → Party | — |
| MapCommoditySwapCounterpartyList | () → Counterparty | — |
| MapCommoditySwapEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapCommoditySwapLegListToPayoutList | (Counterparty) → Payout | — |
| MapCommoditySwapNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapCommoditySwapPriceQuantityList | () → PriceQuantity | — |
| MapElectricityPhysicalLegToPriceQuantity | () → PriceQuantity | — |
| MapElectricityPhysicalLegToSettlementPayout | (Counterparty) → Payout | — |
| MapEnvironmentalPhysicalLegToPriceQuantity | () → PriceQuantity | — |
| MapEnvironmentalPhysicalLegToSettlementPayout | (Counterparty) → Payout | — |
| MapFixedLegToFixedPricePayout | (Counterparty) → Payout | — |
| MapFixedLegToPriceQuantity | () → PriceQuantity | — |
| MapFloatingLegToCommodityPayout | (Counterparty) → Payout | — |
| MapFloatingLegToPriceQuantity | () → PriceQuantity | — |
| MapGasPhysicalLegToPriceQuantity | () → PriceQuantity | — |
| MapGasPhysicalLegToSettlementPayout | (Counterparty) → Payout | — |
| MapOilPhysicalLegToPriceQuantity | () → PriceQuantity | — |
| MapOilPhysicalLegToSettlementPayout | (Counterparty) → Payout | — |
7 functions · ingest · fpml · confirmation · product · commodityswaption
| Function | Signature | Description |
|---|---|---|
| MapCommoditySwaptionAncillaryPartyList | (Counterparty) → AncillaryParty | — |
| MapCommoditySwaptionCounterpartyList | () → Counterparty | — |
| MapCommoditySwaptionEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapCommoditySwaptionNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapCommoditySwaptionPayout | (Counterparty) → Payout | — |
| MapCommoditySwaptionPriceQuantityList | () → PriceQuantity | — |
| MapUnderlierNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
6 functions · ingest · fpml · confirmation · product · correlationswap
| Function | Signature | Description |
|---|---|---|
| MapCorrelationLegToCorrelationReturnTerms | () → CorrelationReturnTerms | — |
| MapCorrelationSwapCounterpartyList | () → Counterparty | — |
| MapCorrelationSwapEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapCorrelationSwapNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapCorrelationSwapPayout | (Counterparty) → Payout | — |
| MapCorrelationSwapPriceQuantityList | () → PriceQuantity | — |
24 functions · ingest · fpml · confirmation · product · creditdefaultswap
| Function | Signature | Description |
|---|---|---|
| MapBasketReferenceInformation | () → BasketReferenceInformation | — |
| MapConstituentWeight | () → ConstituentWeight | — |
| MapCreditDefaultSwapCounterpartyList | () → Counterparty | — |
| MapCreditDefaultSwapEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapCreditDefaultSwapNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapCreditDefaultSwapPayout | (PayerReceiver, Counterparty) → Payout | — |
| MapCreditDefaultSwapPayoutList | (Counterparty) → Payout | — |
| MapCreditDefaultSwapPriceQuantityList | () → PriceQuantity | — |
| MapCreditEventNotice | (Counterparty) → CreditEventNotice | — |
| MapCreditIndex | () → CreditIndex | — |
| MapFeeLegToInterestRateLegPayout | (PayerReceiver, Counterparty) → Payout | — |
| MapFeeLegToPriceQuantity | () → PriceQuantity | — |
| MapFixedOrFloatingAmountCalculationToPriceListWithLocation | () → PriceSchedule | — |
| MapNotifyingPartyList | (Counterparty) → CounterpartyRoleEnum | — |
| MapProtectionTerms | (Counterparty) → ProtectionTerms | — |
| MapProtectionTermsToBasket | () → PriceQuantity | — |
| MapProtectionTermsToQuantity | () → PriceQuantity | — |
| MapReferenceInformation | () → ReferenceInformation | — |
| MapReferenceObligation | () → ReferenceObligation | — |
| MapReferencePair | () → ReferencePair | — |
| MapReferencePoolItem | () → ReferencePoolItem | — |
| MapReferencePrice | (number) → Price | — |
| MapSettledEntityMatrix | () → SettledEntityMatrix | — |
| MapTranche | () → Tranche | — |
13 functions · ingest · fpml · confirmation · product · creditdefaultswapoption
| Function | Signature | Description |
|---|---|---|
| MapBarrier | (Counterparty) → Barrier | — |
| MapCreditDefaultSwapOptionAncillaryPartyList | (Counterparty) → AncillaryParty | — |
| MapCreditDefaultSwapOptionCounterpartyList | () → Counterparty | — |
| MapCreditDefaultSwapOptionEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapCreditDefaultSwapOptionNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapCreditDefaultSwapOptionPayout | (Counterparty) → Payout | — |
| MapCreditDefaultSwapOptionPriceQuantityList | () → PriceQuantity | — |
| MapCreditDefaultSwapOptionUnderlier | (Counterparty) → NonTransferableProduct | — |
| MapCreditEventsReferenceWithReference | (Counterparty) → CreditEvents | — |
| MapPhysicalSettlementTermsWithReference | () → PhysicalSettlementTerms | — |
| MapSwapOptionFeature | (Counterparty) → OptionFeature | — |
| MapTrigger | (Counterparty) → Trigger | — |
| MapTriggerEvent | (Counterparty) → TriggerEvent | — |
6 functions · ingest · fpml · confirmation · product · dividendswapoptiontransactionsupplement
| Function | Signature | Description |
|---|---|---|
| MapDividendSwapOptionTransactionSupplementAncillaryPartyList | (Counterparty) → AncillaryParty | — |
| MapDividendSwapOptionTransactionSupplementCounterpartyList | () → Counterparty | — |
| MapDividendSwapOptionTransactionSupplementEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapDividendSwapOptionTransactionSupplementNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapDividendSwapOptionTransactionSupplementPayout | (Counterparty) → Payout | — |
| MapDividendSwapOptionTransactionSupplementPriceQuantityList | () → PriceQuantity | — |
12 functions · ingest · fpml · confirmation · product · dividendswaptransactionsupplement
| Function | Signature | Description |
|---|---|---|
| MapDividendLegToPerformancePayout | (Counterparty) → Payout | — |
| MapDividendLegToPriceQuantity | () → PriceQuantity | — |
| MapDividendSwapTransactionSupplementCounterpartyList | () → Counterparty | — |
| MapDividendSwapTransactionSupplementEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapDividendSwapTransactionSupplementNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapDividendSwapTransactionSupplementPayoutList | (Counterparty) → Payout | — |
| MapDividendSwapTransactionSupplementPriceQuantityList | () → PriceQuantity | — |
| MapFixedLegSettlementTerms | (date) → SettlementTerms | — |
| MapFixedPaymentLegToFixedPricePayout | (Counterparty) → Payout | — |
| MapFixedPaymentLegToPriceQuantity | () → PriceQuantity | — |
| MapSingleUnderlyerToNonNegativeQuantityScheduleWithLocation | () → NonNegativeQuantitySchedule | — |
| MapSwapTransactionSupplementDividendReturnTerms | () → DividendReturnTerms | — |
5 functions · ingest · fpml · confirmation · product · equityforward
| Function | Signature | Description |
|---|---|---|
| MapEquityForwardCounterpartyList | () → Counterparty | — |
| MapEquityForwardEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapEquityForwardNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapEquityForwardPayout | (Counterparty) → Payout | — |
| MapEquityForwardPriceQuantityList | () → PriceQuantity | — |
6 functions · ingest · fpml · confirmation · product · equityoption
| Function | Signature | Description |
|---|---|---|
| MapAveragingObservations | () → AveragingObservationList | — |
| MapEquityOptionCounterpartyList | () → Counterparty | — |
| MapEquityOptionEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapEquityOptionNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapEquityOptionPayout | (Counterparty) → Payout | — |
| MapEquityOptionPriceQuantityList | () → PriceQuantity | — |
5 functions · ingest · fpml · confirmation · product · equityoptiontransactionsupplement
| Function | Signature | Description |
|---|---|---|
| MapEquityOptionTransactionSupplementCounterpartyList | () → Counterparty | — |
| MapEquityOptionTransactionSupplementEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapEquityOptionTransactionSupplementNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapEquityOptionTransactionSupplementPayout | (Counterparty) → Payout | — |
| MapEquityOptionTransactionSupplementPriceQuantityList | () → PriceQuantity | — |
5 functions · ingest · fpml · confirmation · product · equityswaptransactionsupplement
| Function | Signature | Description |
|---|---|---|
| MapEquitySwapTransactionSupplementCounterpartyList | () → Counterparty | — |
| MapEquitySwapTransactionSupplementEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapEquitySwapTransactionSupplementNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapEquitySwapTransactionSupplementPriceQuantityList | () → PriceQuantity | — |
| MapReturnSwapLegListToPayoutList | (Counterparty) → Payout | — |
14 functions · ingest · fpml · confirmation · product · fra
| Function | Signature | Description |
|---|---|---|
| FixedLeg | () → — | — |
| FloatingLeg | () → — | — |
| MapFraCalculationPeriodDates | () → CalculationPeriodDates | — |
| MapFraCounterpartyList | () → Counterparty | — |
| MapFraDiscountingMethod | () → DiscountingMethod | — |
| MapFraEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapFraFixedLegPriceQuantity | () → PriceQuantity | — |
| MapFraFloatingLegPriceQuantity | () → PriceQuantity | — |
| MapFraNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapFraPayoutList | (Counterparty) → Payout | — |
| MapFraPriceQuantityList | () → PriceQuantity | — |
| MapFraResetDates | () → ResetDates | — |
| MapFraToFixedInterestRatePayout | (PayerReceiver, DayCountFractionEnum, CalculationPeriodDates, AdjustableDate, DiscountingMethod) → Payout | — |
| MapFraToFloatingInterestRatePayout | (PayerReceiver, DayCountFractionEnum, CalculationPeriodDates, AdjustableDate, DiscountingMethod) → Payout | — |
5 functions · ingest · fpml · confirmation · product · fxdigitaloption
| Function | Signature | Description |
|---|---|---|
| MapFxDigitalOptionAncillaryPartyList | (Counterparty) → AncillaryParty | — |
| MapFxDigitalOptionCounterpartyList | () → Counterparty | — |
| MapFxDigitalOptionEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapFxDigitalOptionNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapFxDigitalOptionPayout | (Counterparty) → Payout | — |
10 functions · ingest · fpml · confirmation · product · fxoption
| Function | Signature | Description |
|---|---|---|
| GetExchangedCurrencyAmount | () → — | — |
| MapFxOptionAncillaryPartyList | (Counterparty) → AncillaryParty | — |
| MapFxOptionCounterpartyList | () → Counterparty | — |
| MapFxOptionEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapFxOptionFeaturesToObservationTerms | () → ObservationTerms | — |
| MapFxOptionNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapFxOptionPayout | (Counterparty) → Payout | — |
| MapFxOptionPriceQuantityList | () → PriceQuantity | — |
| MapFxOptionStrikePrice | () → OptionStrike | — |
| MapObservationScheduleToObservationDates | () → ObservationDates | — |
5 functions · ingest · fpml · confirmation · product · fxsingleleg
| Function | Signature | Description |
|---|---|---|
| MapFxCoreDetailsModelToSettlementPayout | (zonedDateTime, Counterparty) → Payout | — |
| MapFxSingleLegCounterpartyList | () → Counterparty | — |
| MapFxSingleLegEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapFxSingleLegNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapFxSingleLegPriceQuantityList | () → PriceQuantity | — |
5 functions · ingest · fpml · confirmation · product · fxswap
| Function | Signature | Description |
|---|---|---|
| MapFxSwapCounterpartyList | () → Counterparty | — |
| MapFxSwapEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapFxSwapNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapFxSwapPayoutList | (Counterparty) → Payout | — |
| MapFxSwapPriceQuantityList | () → PriceQuantity | — |
10 functions · ingest · fpml · confirmation · product · fxvarianceswap
| Function | Signature | Description |
|---|---|---|
| MapFxFixingScheduleToObservationDates | () → ObservationDates | — |
| MapFxPerformanceSwapToObservationTerms | () → ObservationTerms | — |
| MapFxPerformanceSwapToReturnTerms | () → ReturnTerms | — |
| MapFxValuationDateOffsetToValuationDates | () → ValuationDates | — |
| MapFxVarianceSwapAccountPartyReference | () → Party | — |
| MapFxVarianceSwapCounterpartyList | () → Counterparty | — |
| MapFxVarianceSwapEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapFxVarianceSwapNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapFxVarianceSwapPayout | (ReturnTerms, Counterparty) → Payout | — |
| MapFxVarianceSwapPriceQuantityList | () → PriceQuantity | — |
7 functions · ingest · fpml · confirmation · product · fxvolatilityswap
| Function | Signature | Description |
|---|---|---|
| MapFxVolatilitySwapAccountPartyReference | () → Party | — |
| MapFxVolatilitySwapCounterpartyList | () → Counterparty | — |
| MapFxVolatilitySwapEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapFxVolatilitySwapNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapFxVolatilitySwapPayout | (Counterparty) → Payout | — |
| MapFxVolatilitySwapPriceQuantityList | () → PriceQuantity | — |
| MapFxVolatilitySwapReturnTerms | () → ReturnTerms | — |
6 functions · ingest · fpml · confirmation · product · genericproduct
| Function | Signature | Description |
|---|---|---|
| MapGenericProductBaseQuantityListWithAddress | () → NonNegativeQuantitySchedule | — |
| MapGenericProductCounterpartyList | () → Counterparty | — |
| MapGenericProductEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapGenericProductNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapGenericProductPayout | (Counterparty) → Payout | — |
| MapGenericProductPriceQuantityList | () → PriceQuantity | — |
20 functions · ingest · fpml · confirmation · product · returnswap
| Function | Signature | Description |
|---|---|---|
| MapDividendCurrency | () → DividendCurrency | — |
| MapInterestCalculationToPriceListWithLocation | () → PriceSchedule | — |
| MapInterestLegCalculationPeriodDates | () → CalculationPeriodDates | — |
| MapInterestLegPaymentDates | () → PaymentDates | — |
| MapInterestLegResetDates | () → ResetDates | — |
| MapInterestLegToInterestRatePayout | (Counterparty) → Payout | — |
| MapInterestLegToPriceQuantity | () → PriceQuantity | — |
| MapNotionalAmountToQuantityList | () → NonNegativeQuantitySchedule | — |
| MapPaymentDateSchedule | () → PaymentDateSchedule | — |
| MapResolvablePriceQuantity | (boolean) → ResolvablePriceQuantity | — |
| MapReturnLegToPerformancePayout | (Counterparty) → Payout | — |
| MapReturnLegToPriceQuantity | () → PriceQuantity | — |
| MapReturnLegValuationToValuationDates | () → ValuationDates | — |
| MapReturnSwapCounterpartyList | () → Counterparty | — |
| MapReturnSwapDividendReturnTerms | () → DividendReturnTerms | — |
| MapReturnSwapEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapReturnSwapLegListToPayoutList | (Counterparty) → Payout | — |
| MapReturnSwapNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapReturnSwapPriceQuantityList | () → PriceQuantity | — |
| MapStubCalculationPeriodToStubPeriod | () → StubPeriod | — |
33 functions · ingest · fpml · confirmation · product · swap
| Function | Signature | Description |
|---|---|---|
| GetInterestRatePriceCurrency | () → — | — |
| MapCalculationPeriodAmountToPriceList | () → PriceSchedule | — |
| MapCalculationPeriodAmountToQuantity | () → NonNegativeQuantitySchedule | — |
| MapCalculationPeriodList | () → CalculationPeriod | — |
| MapCancelableProvision | (Counterparty) → CancelableProvision | — |
| MapCashflowRepresentation | () → CashflowRepresentation | — |
| MapEarlyTerminationProvision | (Counterparty) → EarlyTerminationProvision | — |
| MapFinalRateRounding | () → Rounding | — |
| MapFloatingRateSpecification | () → FloatingRateSpecification | — |
| MapFrequency | () → Frequency | — |
| MapFutureValueAmount | () → FutureValueAmount | — |
| MapInflationRateSpecification | () → InflationRateSpecification | — |
| MapInitialOrFinalStub | () → StubFloatingRate | — |
| MapInitialRate | (number) → Price | — |
| MapMandatoryEarlyTermination | (Counterparty) → MandatoryEarlyTermination | — |
| MapOptionalEarlyTermination | (Counterparty) → OptionalEarlyTermination | — |
| MapPaymentCalculationPeriodList | () → PaymentCalculationPeriod | — |
| MapQuantityMultiplier | () → QuantityMultiplier | — |
| MapResetFrequency | () → ResetFrequency | — |
| MapStubCalculationPeriodAmountToStubPeriod | () → StubPeriod | — |
| MapStubFloatingRate | () → StubFloatingRate | — |
| MapStubValue | () → StubValue | — |
| MapSwapAncillaryPartyList | (Counterparty) → AncillaryParty | — |
| MapSwapCalculationPeriodDates | () → CalculationPeriodDates | — |
| MapSwapCounterpartyList | () → Counterparty | — |
| MapSwapEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapSwapNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapSwapPaymentDates | () → PaymentDates | — |
| MapSwapPayout | (Counterparty) → Payout | — |
| MapSwapPriceQuantity | () → PriceQuantity | — |
| MapSwapPriceQuantityList | () → PriceQuantity | — |
| MapSwapResetDates | () → ResetDates | — |
| MapTerminationProvision | (Counterparty) → TerminationProvision | — |
7 functions · ingest · fpml · confirmation · product · swaption
| Function | Signature | Description |
|---|---|---|
| MapSwaptionAncillaryPartyList | (Counterparty) → AncillaryParty | — |
| MapSwaptionCounterpartyList | () → Counterparty | — |
| MapSwaptionEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapSwaptionNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapSwaptionPayout | (Counterparty) → Payout | — |
| MapSwaptionPhysicalSettlementToSettlementTerms | () → SettlementTerms | — |
| MapSwaptionPriceQuantityList | () → PriceQuantity | — |
6 functions · ingest · fpml · confirmation · product · varianceoptiontransactionsupplement
| Function | Signature | Description |
|---|---|---|
| MapVarianceOptionTransactionSupplementAncillaryPartyList | (Counterparty) → AncillaryParty | — |
| MapVarianceOptionTransactionSupplementCounterpartyList | () → Counterparty | — |
| MapVarianceOptionTransactionSupplementEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapVarianceOptionTransactionSupplementNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapVarianceOptionTransactionSupplementPayout | (Counterparty) → Payout | — |
| MapVarianceOptionTransactionSupplementPriceQuantityList | () → PriceQuantity | — |
7 functions · ingest · fpml · confirmation · product · varianceswap
| Function | Signature | Description |
|---|---|---|
| MapVarianceLegToPerformancePayout | (Counterparty) → Payout | — |
| MapVarianceLegToPriceQuantity | () → PriceQuantity | — |
| MapVarianceLegToVarianceReturnTerms | () → VarianceReturnTerms | — |
| MapVarianceSwapCounterpartyList | () → Counterparty | — |
| MapVarianceSwapEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapVarianceSwapNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapVarianceSwapPriceQuantityList | () → PriceQuantity | — |
4 functions · ingest · fpml · confirmation · product · varianceswaptransactionsupplement
| Function | Signature | Description |
|---|---|---|
| MapVarianceSwapTransactionSupplementCounterpartyList | () → Counterparty | — |
| MapVarianceSwapTransactionSupplementEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapVarianceSwapTransactionSupplementNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapVarianceSwapTransactionSupplementPriceQuantityList | () → PriceQuantity | — |
10 functions · ingest · fpml · confirmation · product · volatilityswap
| Function | Signature | Description |
|---|---|---|
| MapVolatilityLegToNonNegativeQuantityScheduleWithAddress | () → NonNegativeQuantitySchedule | — |
| MapVolatilityLegToNonNegativeQuantityScheduleWithLocation | () → NonNegativeQuantitySchedule | — |
| MapVolatilityLegToPerformancePayout | (Counterparty) → Payout | — |
| MapVolatilityLegToPriceQuantity | () → PriceQuantity | — |
| MapVolatilitySwapCounterpartyList | () → Counterparty | — |
| MapVolatilitySwapEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapVolatilitySwapNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapVolatilitySwapPriceQuantityList | () → PriceQuantity | — |
| MapVolatilitySwapReturnTerms | () → ReturnTerms | — |
| MapVolatilitySwapToResolvablePriceQuantity | () → ResolvablePriceQuantity | — |
4 functions · ingest · fpml · confirmation · product · volatilityswaptransactionsupplement
| Function | Signature | Description |
|---|---|---|
| MapVolatilitySwapTransactionSupplementCounterpartyList | () → Counterparty | — |
| MapVolatilitySwapTransactionSupplementEconomicTerms | (Counterparty) → EconomicTerms | — |
| MapVolatilitySwapTransactionSupplementNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapVolatilitySwapTransactionSupplementPriceQuantityList | () → PriceQuantity | — |
27 functions · ingest · fpml · confirmation · settlement
| Function | Signature | Description |
|---|---|---|
| GetFpmlCashSettlementCurrency | () → — | — |
| MapCashCollateralValuationMethod | (boolean) → CashCollateralValuationMethod | — |
| MapCashPriceMethodToCashSettlementTerms | (CashSettlementMethodEnum) → CashSettlementTerms | — |
| MapCashSettlementToCashSettlementTerms | () → CashSettlementTerms | — |
| MapCashSettlementToSettlementTerms | () → SettlementTerms | — |
| MapCollateralizedCashPriceMethodToCashSettlementTerms | () → CashSettlementTerms | — |
| MapCommodityExerciseToSettlementTerms | () → SettlementTerms | — |
| MapCommoditySettlementModelToSettlementTerms | () → SettlementTerms | — |
| MapCommoditySwaptionSettlementTerms | () → SettlementTerms | — |
| MapCorrelationLegToSettlementTerms | () → SettlementTerms | — |
| MapCreditDefaultSwapChoiceToSettlementTerms | () → SettlementTerms | — |
| MapCrossCurrencyMethodToCashSettlementTerms | () → CashSettlementTerms | — |
| MapEquityExerciseValuationSettlementToSettlementTerms | () → SettlementTerms | — |
| MapFxCashSettlementToSettlementTerms | (date) → SettlementTerms | — |
| MapFxDigitalOptionToSettlementTerms | () → SettlementTerms | — |
| MapFxOptionToSettlementTerms | () → SettlementTerms | — |
| MapFxPerformanceSwapToSettlementTerms | () → SettlementTerms | — |
| MapMidMarketValuationMethodToCashSettlementTerms | (CashSettlementMethodEnum) → CashSettlementTerms | — |
| MapOptionSettlementModelToSettlementTerms | () → SettlementTerms | — |
| MapReferenceBank | () → ReferenceBank | — |
| MapReferenceBanks | () → ReferenceBanks | — |
| MapReplacementValueCalculationAgentDeterminationMethodToCashSettlementTerms | () → CashSettlementTerms | — |
| MapReplacementValueFirmQuotationsMethodToCashSettlementTerms | () → CashSettlementTerms | — |
| MapReturnSwapLegToSettlementTerms | () → SettlementTerms | — |
| MapSettlementProvisionToSettlementTerms | () → SettlementTerms | — |
| MapValuationMethod | (CashCollateralValuationMethod) → ValuationMethod | — |
| MapYieldCurveMethodToCashSettlementTerms | (CashSettlementMethodEnum) → CashSettlementTerms | — |
10 functions · ingest · fpml · confirmation · tradestate
| Function | Signature | Description |
|---|---|---|
| ExtractNotionalAdjustmentByLeg | () → string | — |
| MapCalculationAgent | () → CalculationAgent | — |
| MapCollateral | () → Collateral | — |
| MapExecutionDetails | () → ExecutionDetails | — |
| MapNonTransferableProduct | (Counterparty) → NonTransferableProduct | — |
| MapPortfolioNameToIdentifier | () → Identifier | — |
| MapPriceQuantityList | () → PriceQuantity | — |
| MapTrade | () → Trade | — |
| MapTradeLotList | () → TradeLot | — |
| MapTradeState | () → TradeState | — |
21 functions · ingest · fpml · confirmation · workflowstep
| Function | Signature | Description |
|---|---|---|
| GetEffectiveDate | () → date | — |
| GetEventDate | () → date | — |
| MapAmendmentToPrimitiveInstruction | () → PrimitiveInstruction | — |
| MapBreakdown | () → PrimitiveInstruction | — |
| MapEventIdentifier | () → Identifier | — |
| MapIntent | () → EventIntentEnum | — |
| MapMessageInformation | () → MessageInformation | — |
| MapMoneyToNonNegativeQuantitySchedule | () → NonNegativeQuantitySchedule | — |
| MapNextEvent | () → EventInstruction | — |
| MapNonNegativeMoneyNonNegativeQuantitySchedule | () → NonNegativeQuantitySchedule | — |
| MapNovationToPrimitiveInstruction | () → PrimitiveInstruction | — |
| MapPartyChangeInstruction | () → PartyChangeInstruction | — |
| MapPartyChangePayerReceiverModelToCounterparty | (Counterparty) → Counterparty | — |
| MapPriceQuantity | () → PriceQuantity | — |
| MapPrimitiveInstruction | () → PrimitiveInstruction | — |
| MapQuantityChangeInstruction | (QuantityChangeDirectionEnum) → QuantityChangeInstruction | — |
| MapTerminationToPrimitiveInstruction | () → PrimitiveInstruction | — |
| MapTradeToExecutionInstruction | () → ExecutionInstruction | — |
| MapTradeToPrimitiveInstruction | () → PrimitiveInstruction | — |
| MapTransferInstruction | (UnscheduledTransferEnum) → TransferInstruction | — |
| MapWorkflowStep | (zonedDateTime, ActionEnum, EventIntentEnum, date, date) → WorkflowStep | — |
5 functions · legaldocumentation · csa
| Function | Signature | Description |
|---|---|---|
| CreditSupportAmount | (Money, Money, MarginApproachEnum, Money, string) → Money | Calculates the Credit Support Amount. |
| DeliveryAmount | (PostedCreditSupportItem, Money, Money, Money, Money, Money, MarginApproachEnum, Money, Money, CollateralRounding, Money, string) → Money | — |
| PostedCreditSupportItemAmount | (PostedCreditSupportItem, string) → Money | Calculates the Value for the given Posted Credit Support item. |
| ReturnAmount | (PostedCreditSupportItem, Money, Money, Money, Money, Money, MarginApproachEnum, Money, Money, CollateralRounding, Money, string) → Money | — |
| UndisputedAdjustedPostedCreditSupportAmount | (PostedCreditSupportItem, Money, Money, Money, string) → Money | Calculates the value for Undisputed Adjusted Posted Credit Support Item. |
23 functions · margin · schedule
| Function | Signature | Description |
|---|---|---|
| AuxiliarEffectiveDate | (EconomicTerms) → date | Extracts the effective date of specific products such as interest rate swaps and swaptions. |
| AuxiliarTerminationDate | (EconomicTerms) → date | Extracts the termination date of specific products such as interest rate swaps and swaptions. |
| BuildStandardizedSchedule | (Trade) → StandardizedSchedule | Takes a trade and uses qualification to extract the relevant information to populate the grid that will be used to calculate the gross initial margin. |
| GetGrossInitialMarginFromStandardizedSchedule | (StandardizedSchedule) → Money | Takes the grid information from an specific trade and calculates the gross initial margin. |
| GetNetInitialMarginFromExposure | (Exposure) → StandardizedScheduleInitialMargin | Computes the net initial margin, taking the gross initial margin result and the mark to market value for each trade in the portfolio. |
| GetStandardizedScheduleMarginRate | (StandardizedScheduleAssetClassEnum, number) → number | Computes the margin rate, which is required in the calculation of the gross initial margin. It depends exclusively on the asset class of the trade and, in some cases, on the duration as well. |
| Qualify_Credit_NthToDefault | (EconomicTerms) → boolean | Qualifies a product as a CR basket Nth to default by checking that 1) it is a credit product with a basket underlier and 2) nth to default information is populated. |
| Qualify_InterestRate_Swaption_Straddle | (EconomicTerms) → boolean | Qualifies a product as an IR swaption straddle by checking that it is indeed an IR swaption with the option type populated as Straddle. |
| Qualify_InterestRate_SwapWithCallableBermudanRightToEnterExitSwaps | (EconomicTerms) → boolean | Qualifies a product as an IR swap with bermudan/callable right to enter/exit swaps, by checking it is an IR swap that has an optional early termination with Bermudan style. |
| StandardizedScheduleAssetClass | (Trade) → StandardizedScheduleAssetClassEnum | Identifies the asset class of a trade from qualifying functions, according to the standardized schedule classification. |
| StandardizedScheduleCommodityForwardNotionalAmount | (EconomicTerms) → number | Extracts the notional amount of a CO forward. Floating price forwards not supported. |
| StandardizedScheduleCommoditySwapFixedFloatNotionalAmount | (EconomicTerms) → number | Extracts the notional amount of a CO fixed float swap. |
| StandardizedScheduleDuration | (Trade, StandardizedScheduleAssetClassEnum, StandardizedScheduleProductClassEnum) → number | Extracts the duration of a trade, according to the product class-depending extraction method defined in the ISDA industry survey. |
| StandardizedScheduleEquityForwardNotionalAmount | (SettlementPayout) → number | Extracts the notional amount of an EQ forward. |
| StandardizedScheduleFXSwapNotional | (SettlementPayout, TradeLot) → NonNegativeQuantitySchedule | Extracts the notional amount and currency of an FX swap. |
| StandardizedScheduleFXVarianceNotionalAmount | (PerformancePayout) → number | Extracts the notional amount of an FX variance swap. |
| StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ | (ResolvablePriceQuantity) → string | Extracts the notional currency for all products that have it populated in the resolvable priceQuantity. |
| StandardizedScheduleMonetaryNotionalFromResolvablePQ | (ResolvablePriceQuantity) → number | Extracts the notional amount for all products that have it populated in the resolvable priceQuantity. |
| StandardizedScheduleNotional | (Trade, StandardizedScheduleAssetClassEnum, StandardizedScheduleProductClassEnum) → number | Extracts the notional amount of a trade, according to the product class-depending extraction method defined in the ISDA industry survey. |
| StandardizedScheduleNotionalCurrency | (Trade, StandardizedScheduleAssetClassEnum, StandardizedScheduleProductClassEnum) → string | Extracts the notional currency of a trade, according to the product class-depending extraction method defined in the ISDA industry survey. |
| StandardizedScheduleOptionNotionalAmount | (OptionPayout) → number | Extracts the notional amount of a CO or EQ option. |
| StandardizedScheduleProductClass | (Trade) → StandardizedScheduleProductClassEnum | Identifies the product class of a trade from qualifying functions, according to the standardized schedule classification. |
| StandardizedScheduleVarianceSwapNotionalAmount | (PerformancePayout) → number | Extracts the notional amount of an EQ variance swap. |
3 functions · observable · asset
| Function | Signature | Description |
|---|---|---|
| FilterPrice | (PriceSchedule, PriceTypeEnum, ArithmeticOperationEnum, PriceExpressionEnum) → PriceSchedule | Filter list of prices based on price type. |
| InterestRateObservableCondition | (PriceQuantity) → boolean | Implementation for PriceQuantity.InterestRateObservable condition. |
| ObservableIsCommodity | (Observable) → boolean | Validates whether all of the constituents of an Observable are Commodities. |
14 functions · observable · asset · calculatedrate
| Function | Signature | Description |
|---|---|---|
| ApplyAveragingFormula | (number, number) → CalculatedRateDetails | Implements the weighted arithmetic averaging formula. Sums the weighted rates and divides by the total weight. This is used to support section 7.4 of the 2021 ISDA Definitions. |
| ApplyCompoundingFormula | (number, number, number) → CalculatedRateDetails | Implements the compounding formula: Product of ( 1 + (rate * weight) / basis), then backs out the final rate. This is used to support section 7.3 of the 2021 ISDA Definitions. |
| ComputeCalculationPeriod | (CalculationPeriodBase, CalculationPeriodBase, ObservationPeriodDatesEnum, ResetDates) → CalculationPeriodBase | Determine the calculation period to use for computing the calculated rate (it may not be the same as the normal calculation period, for instance if the rate is set in advance. |
| DetermineObservationPeriod | (CalculationPeriodBase, FloatingRateCalculationParameters) → CalculationPeriodBase | Determine any applicable offsets/shifts for the period for observing an index, and then generate the date range to be used for observing the index, based on the calculation period, plus any applicable offsets/shift. |
| DetermineWeightingDates | (FloatingRateCalculationParameters, date, CalculationPeriodBase, CalculationPeriodBase, int) → date | Determine the dates to be used for weighting observation. |
| EvaluateCalculatedRate | (InterestRateIndex, FloatingRateCalculationParameters, ResetDates, CalculationPeriodBase, CalculationPeriodBase, DayCountFractionEnum) → FloatingRateSettingDetails | Evaluate a calculated rate as described in the 2021 ISDA Definitions. |
| GenerateObservationDates | (CalculationPeriodBase, BusinessCenter, int) → date | Generate the list of observation dates given an observation period. |
| GenerateObservationDatesAndWeights | (FloatingRateCalculationParameters, ResetDates, CalculationPeriodBase, CalculationPeriodBase) → CalculatedRateObservationDatesAndWeights | Apply shifts to generate the list of observation dates and weights for each of those date. |
| GenerateObservationPeriod | (CalculationPeriodBase, BusinessCenter, int) → CalculationPeriodBase | Generate the date range to be used for observing the index, based on the calculation period, plus any applicable offsets/shifts. |
| GenerateWeightings | (FloatingRateCalculationParameters, date, CalculationPeriodBase, CalculationPeriodBase, int) → number | Determine the weighting dates and the corresponding weights to be used for weighting observation. |
| GenerateWeights | (date) → number | Recursively creates a list of weights based on the date difference between successive days. |
| IndexValueObservation | (date, InterestRateIndex) → number | Retrieve the values of the supplied index on the specified observation date. |
| IndexValueObservationMultiple | (date, InterestRateIndex) → number | Retrieve the values of the supplied index on the specified observation dates. |
| ProcessObservations | (FloatingRateCalculationParameters, number) → number | Apply daily observation parameters to rate observation. These are discussed in the 2021 ISDA Definitions, section 7.2.3 and 7.2.4. |
3 functions · observable · asset · fro
| Function | Signature | Description |
|---|---|---|
| FilterInvalidFloatingRateIndexTradeDate | (TradeState) → FloatingRateIndexEnum | Returns the invalid floating rate index or indices of a trade based on their metadata and the trade date. |
| FloatingRateIndexMetadata | (FloatingRateIndexEnum) → FloatingRateIndexDefinition | Retrieve all available metadata for the floating rate index. |
| ValidateFloatingRateIndexName | (FloatingRateIndexEnum, ContractualDefinitionsEnum) → boolean | Return whether the supplied floating rate index name is valid for the supplied contractual definitions. |
2 functions · observable · common
| Function | Signature | Description |
|---|---|---|
| PriceQuantityTriangulation | (PriceSchedule, NonNegativeQuantitySchedule) → boolean | Checks the relationship between price, multiplier, notional and number of units, and validates the result of their product. |
| ResolveTimeZoneFromTimeType | (AssetIdentifier, TimeTypeEnum, DeterminationMethodEnum) → TimeZone | Defines inputs and outputs needed to derive the time and time-zone for a product identifier |
4 functions · observable · event
| Function | Signature | Description |
|---|---|---|
| Create_AssetPayoutTradeStateWithObservations | (BillingRecordInstruction) → TradeState | Attaches a set of Observations to a Security Finance Transaction. |
| Create_AssetReset | (AssetPayout, Observation, date) → Reset | Defines how to resolve the reset value for an equity payout. |
| ResolveObservation | (ObservationIdentifier, AveragingCalculationMethod) → Observation | Specifies the interface that should be used by implementors to resolve a single observation when provided many, applying the averaging method, if one is provided. |
| ResolveObservationAverage | (Observation) → Price | Specifies the interface that should be used by implementors to resolve a single observation when provided many, applying the averaging method, if one is provided. |
7 functions · product · asset
| Function | Signature | Description |
|---|---|---|
| DividendCashSettlementAmount | (number, number) → number | Based on the following legal text: means, in respect of a Dividend Period and the related Dividend Cash Settlement Date, an amount in the Settlement Currency determined by the Calculation Agent for such Dividend Period to which the Dividend Cash Settlement Amount relates, pursuant to the following formula: Dividend Cash Settlement Amount = Record Amount × Number Of Securities. |
| ExtractFixedLeg | (InterestRatePayout) → InterestRatePayout | Extract interest rate payout containing fix rate specification. |
| FixedAmount | (InterestRatePayout, number, date, CalculationPeriodData) → number | 2006 ISDA Definition Article 5 Section 5.1. Calculation of a Fixed Amount: The Fixed Amount payable by a party on a Payment Date will be: (a) if an amount is specified for the Swap Transaction as the Fixed Amount payable by that party for that Payment Date or for the related Calculation Period, that amount; or (b) if an amount is not specified for the Swap Transaction as the Fixed Amount payable by that party for that Payment Date or for the related Calculation Period, an amount calculated on a formula basis for that Payment Date or for the related Calculation Period as follows: Fixed Amount = Calculation Amount × Fixed Rate × Day Count Fraction. |
| FloatingAmount | (InterestRatePayout, number, number, date, CalculationPeriodData) → number | 2006 ISDA Definition Article 6 Section 6.1. Calculation of a Floating Amount: Subject to the provisions of Section 6.4 (Negative Interest Rates), the Floating Amount payable by a party on a Payment Date will be: (a) if Compounding is not specified for the Swap Transaction or that party, an amount calculated on a formula basis for that Payment Date or for the related Calculation Period as follows: Floating Amount = Calculation Amount × Floating Rate + Spread × Floating Rate Day Count Fraction (b) if 'Compounding' is specified to be applicable to the Swap Transaction or that party and 'Flat Compounding' is not specified, an amount equal to the sum of the Compounding Period Amounts for each of the Compounding Periods in the related Calculation Period; or (c) if 'Flat Compounding' is specified to be applicable to the Swap Transaction or that party, an amount equal to the sum of the Basic Compounding Period Amounts for each of the Compounding Periods in the related Calculation Period plus the sum of the Additional Compounding Period Amounts for each such Compounding Period. |
| ResolveEquityInitialPrice | (PriceSchedule) → PriceSchedule | To be replaced by full resolve price function implementation. |
| ResolvePerformancePeriodStartPrice | (PerformancePayout, PriceSchedule, Observable, date) → PriceSchedule | Resolves the price from the end of the previous period. If first period, then take the initial price. |
| ResolveRateIndex | (FloatingRateIndexEnum) → number | The function to specify that the floating rate index enumeration will be expressed as a number once the rate is observed. |
10 functions · product · asset · calculation
| Function | Signature | Description |
|---|---|---|
| ApplyFloatingRateSetting | (InterestRatePayout, CalculationPeriodBase, boolean, number, number, FloatingRateSettingDetails) → FloatingAmountCalculationDetails | Calculate a floating amount for a calculation period by determining the raw floating rate, applying any rate treatments, looking up the calculation period notional, then performing the multiplication of the notional, rate, and year fraction. Floating amount calculations are described in the 2021 ISDA Definitions in Section 6 and 7. |
| CalculateFloatingCashFlow | (InterestRatePayout, CalculationPeriodBase, number, string, FloatingRateSettingDetails, FloatingRateProcessingDetails) → FloatingAmountCalculationDetails | — |
| CalculateYearFraction | (InterestRatePayout, DayCountFractionEnum, CalculationPeriodBase) → number | Calculate the year fraction for a single calculation period, by invoking the base year fraction logic |
| Create_CalculationPeriodBase | (CalculationPeriodData) → CalculationPeriodBase | Create a CalculationPeriodBase type from CalculationPeriodData type. |
| DefaultFloatingRate | (number) → FloatingRateProcessingDetails | — |
| FixedAmountCalculation | (InterestRatePayout, CalculationPeriodBase, number) → FixedAmountCalculationDetails | Calculates the fixed amount for a calculation period by looking up the notional and the fixed rate and multiplying by the year fraction. |
| FloatingAmountCalculation | (InterestRatePayout, CalculationPeriodBase, boolean, number, number) → FloatingAmountCalculationDetails | Calculate a floating amount for a calculation period by determining the raw floating rate, applying any rate treatments, looking up the calculation period notional, then performing the multiplication of the notional, rate, and year fraction. Floating amount calculations are described in the 2021 ISDA Definitions in Section 6 and 7. |
| GetFixedRate | (InterestRatePayout, CalculationPeriodBase) → number | Look up the fixed rate for a calculation period. |
| GetNotionalAmount | (InterestRatePayout, CalculationPeriodBase) → Money | Look up the notional amount in effect for a calculation period. |
| GetQuantityScheduleStepValues | (NonNegativeQuantitySchedule, date) → number | Find all schedule step values whose stepDate is before or equal to the supplied periodStartDate. Returns a list of step values starting from the initial quantity value, to the last step value before the periodStartDate. |
19 functions · product · asset · floatingrate
| Function | Signature | Description |
|---|---|---|
| ApplyCapsAndFloors | (FloatingRateProcessingParameters, number) → number | Apply any cap or floor rate as a constraint on a regular swap rate, as discussed in the 2021 ISDA Definitions, section 6.5.8 and 6.5.9. |
| ApplyFinalRateRounding | (number, Rounding) → number | Apply the final rate rounding treatment logic as described in the 2021 ISDA Definitions, section 4.8.1. |
| ApplyFloatingRatePostSpreadProcessing | (number, FloatingRateProcessingParameters) → number | Perform post-spread rate treatments on floating rates, such as applying caps and floors, rounding, and negative interest treatment. TODOO: initialRate needs to be supported. Also, to support compounding methods, it may be necessary to split the before spread and after spread values and return both, so that cashflows can be computed both ways. This may require this function to be redesigned or split into pieces (e.g. factor out the post-spread processing). |
| ApplyFloatingRateProcessing | (FloatingRateProcessingParameters, number, CalculationPeriodBase, boolean) → FloatingRateProcessingDetails | Perform rate treatments on floating rates, such as applying spreads, multipliers, caps and floors, rounding, and negative interest treatment. TODO: initialRate needs to be supported. Also, to support compounding methods, it may be necessary to split the before spread and after spread values and return both, so that cashflows can be computed both ways. This may require this function to be redesigned or split into pieces (e.g. factor out the post-spread processing). Rate treatments are described in Section 6 of the 2021 ISDA Definitions. Negative treatment does not correctly support the case where compounded periods are applicable and will need to be enhanced for that case when compounding calculations are developed. |
| ApplyUSRateTreatment | (number, RateTreatmentEnum, CalculationPeriodBase) → number | Apply the US rate treatment logic where applicable (Bond Equivalent Yield, Money Market Yield, as described in the 2021 ISDA Definitions, section 6.9. |
| CapRateAmount | (InterestRatePayout, CalculationPeriodBase) → number | Look up the cap rate amount for a calculation period. |
| DetermineFixingDate | (ResetDates, date) → date | Determine the observation (fixing) date needed given a reset dates structure and a reset date. |
| DetermineFloatingRateReset | (InterestRatePayout, CalculationPeriodBase) → FloatingRateSettingDetails | Get the value of a floating rate by either observing it directly or performing a rate calculation. This function works differently depending on the rate category and style, as described in the 2021 ISDA Definitions, Section 6.6. |
| DetermineResetDate | (ResetDates, CalculationPeriodBase) → date | Determine the value of the reset date given a reset dates structure and a calculation paeriod for which it's needed. Reset dates are defined in the 2021 ISDA Definition in Section 6.5.5. |
| EvaluateScreenRate | (FloatingRate, ResetDates, CalculationPeriodBase) → FloatingRateSettingDetails | Evaluate/lookup the value of a screen rate. |
| FloorRateAmount | (InterestRatePayout, CalculationPeriodBase) → number | Look up the floor rate amount for a calculation period. |
| GetCalculatedFROCalculationParameters | (ResetDates, CalculationMethodEnum) → FloatingRateCalculationParameters | Initialize a calculation parameters block for an OIS or a daily average rate. Used to support FROs that include an embedded calculation. |
| GetFloatingRateProcessingParameters | (InterestRatePayout, CalculationPeriodBase) → FloatingRateProcessingParameters | Determine the processing parameters to use from the InterestRatePayout by looking them up if necessary from the corresponding schedules in the interest rate stream. |
| GetFloatingRateProcessingType | (FloatingRateSpecification) → FloatingRateIndexProcessingTypeEnum | Get a classification of the floating rate is processed. This is based on FRO category, style, and calculation method, as described in the 2021 ISDA Definitions Section 6.6. The categorization information is obtained from the FRO metadata. . |
| GetRateScheduleAmount | (RateSchedule, date) → number | Get the rate for the period start date. |
| GetRateScheduleStepValues | (RateSchedule, date) → number | Get all rate schedule step values whose stepDate is before or equal to the supplied periodStartDate. Returns a list of step values starting from the initial rate. |
| MultiplierAmount | (InterestRatePayout, CalculationPeriodBase) → number | Look up the multiplier amount for a calculation period. |
| ProcessFloatingRateReset | (InterestRatePayout, CalculationPeriodBase, FloatingRateIndexProcessingTypeEnum) → FloatingRateSettingDetails | Entry point for the function that performs the floating rate resetting operation. There are different variations depending on the processing type (e.g. screen rate, OIS, modular calculated rate. . |
| SpreadAmount | (InterestRatePayout, CalculationPeriodBase) → number | Look up the spread amount for a calculation period. |
15 functions · product · collateral
| Function | Signature | Description |
|---|---|---|
| CheckAgencyRating | (AgencyRatingCriteria, EligibilityQuery) → boolean | — |
| CheckAssetType | (AssetType, EligibilityQuery) → boolean | — |
| CheckCountryOfOrigin | (ISOCountryCodeEnum, EligibilityQuery) → boolean | — |
| CheckCriteria | (CollateralCriteria, EligibilityQuery) → boolean | This function takes a single criteria and evaluates it against the criteria. This function handles the recursive use of AND and OR logic. |
| CheckDebtType | (DebtType, EligibilityQuery) → boolean | — |
| CheckDenominatedCurrency | (CurrencyCodeEnum, EligibilityQuery) → boolean | — |
| CheckEligibilityByDetails | (EligibleCollateralSpecification, EligibilityQuery) → CheckEligibilityResult | This function when presented with a set of Asset and Issuer details to be potentially posted as collateral, will check against a set of given Eligibility Criteria or Basket (EligibleCollateralSpecification) to determine which collateral meets the eligibility and can be used/posted for delivery. |
| CheckEligibilityForProduct | (EligibleCollateralSpecification, TransferableProduct) → CheckEligibilityResult | — |
| CheckIssuerName | (IssuerName, EligibilityQuery) → boolean | — |
| CheckIssuerType | (CollateralIssuerType, EligibilityQuery) → boolean | — |
| CheckMaturity | (AssetMaturity, EligibilityQuery) → boolean | — |
| CloneEligibleCollateralWithChangedTreatment | (EligibleCollateralSpecification, CollateralCriteria, CollateralTreatment) → EligibleCollateralSpecification | Creates a new Eligible Collateral Specification based on an input specification but with one changed criteria and with one changed treatment. |
| CreateAndCriteria | (CollateralCriteria) → CollateralCriteria | Combines multiple CollateralCriteria together using AND logic. |
| CreateOrCriteria | (CollateralCriteria) → CollateralCriteria | Combines multiple CollateralCriteria together using OR logic. |
| CriteriaMatchesSecurityType | (CollateralCriteria, SecurityTypeEnum) → boolean | — |
1 function · product · common
| Function | Signature | Description |
|---|---|---|
| InterestRatePayoutCurrency | (InterestRatePayout) → string | — |
5 functions · product · common · schedule
| Function | Signature | Description |
|---|---|---|
| CalculationPeriod | (CalculationPeriodDates, date) → CalculationPeriodData | 2006 ISDA Definition Section 4.13. 'Calculation Period' means, in respect of a Swap Transaction and a party, each period from, and including, one Period End Date of that party to, but excluding, the next following applicable Period End Date during the Term of the Swap Transaction, except that (a) the initial Calculation Period for the party will commence on, and include, the Effective Date and (b) the final Calculation Period for the party will end on, but exclude, the Termination Date. |
| CalculationPeriodRange | (date, date, BusinessDayAdjustments) → CalculationPeriodData | — |
| CalculationPeriods | (CalculationPeriodDates) → CalculationPeriodData | 2006 ISDA Definition Section 4.13. 'Calculation Period' means, in respect of a Swap Transaction and a party, each period from, and including, one Period End Date of that party to, but excluding, the next following applicable Period End Date during the Term of the Swap Transaction, except that (a) the initial Calculation Period for the party will commence on, and include, the Effective Date and (b) the final Calculation Period for the party will end on, but exclude, the Termination Date. |
| PaymentDate | (EconomicTerms) → date | — |
| PeriodsInYear | (CalculationPeriodFrequency) → int | — |
6 functions · product · common · settlement
| Function | Signature | Description |
|---|---|---|
| FilterChangePriceQuantity | (PriceQuantity, PriceQuantity) → PriceQuantity | Filter the change PriceQuantity list to match on Observable if present. |
| PriceUnitEquals | (PriceSchedule, PriceSchedule) → boolean | Compares two PriceSchedule to check if all attributes match, except for the amount. |
| SplitQuantityChange | (PriceQuantity) → PriceQuantity | Splits a PriceQuantity list into separate elements, each containing a single quantity and its corresponding effective date, if multiple quantities exist. |
| UpdateAmountForEachMatchingQuantity | (PriceQuantity, PriceQuantity, QuantityChangeDirectionEnum) → PriceQuantity | Updates any price or quantity from the list of PriceQuantity if the unit of amount matches. |
| UpdatePriceAmountForEachMatchingQuantity | (PriceSchedule, PriceQuantity, QuantityChangeDirectionEnum) → PriceSchedule | Updates any price from the PriceSchedule list if the unit of amount matches. |
| UpdateQuantityAmountForEachMatchingQuantity | (NonNegativeQuantitySchedule, PriceQuantity, QuantityChangeDirectionEnum) → NonNegativeQuantitySchedule | Updates any quantity from the NonNegativeQuantitySchedule list if the unit of amount matches. |
112 functions · product · qualification
| Function | Signature | Description |
|---|---|---|
| CommodityPayoutOnlyExists | (Payout) → boolean | At least one CommodityPayout exists and no other payouts exist. |
| CreditDefaultPayoutOnlyExists | (Payout) → boolean | At least one OptionPayout exists and no other payouts exist. |
| InterestRatePayoutOnlyExists | (Payout) → boolean | At least one InterestRatePayout exists and no other payouts exist. |
| ObservableQualification | (Observable, SecurityTypeEnum, AssetClassEnum) → boolean | Identifies whether the observable(s) have either the specified securityType or assetClass. |
| OptionPayoutOnlyExists | (Payout) → boolean | At least one OptionPayout exists and no other payouts exist. |
| PerformancePayoutAndFixedPricePayoutOnlyExists | (Payout) → boolean | At least one PerformancePayout exists, and at least one FixedPricePayout exists, and no other payouts exist. |
| PerformancePayoutAndInterestRatePayoutOnlyExists | (Payout) → boolean | At least one PerformancePayout exists, and at least one InterestRatePayout exists, and no other payouts exist. |
| PerformancePayoutOnlyExists | (Payout) → boolean | At least one PerformancePayout exists and no other payouts exist. |
| Qualify_AssetClass_Commodity | (EconomicTerms) → boolean | Qualifies a product as having the Asset Class classification Commodity |
| Qualify_AssetClass_Credit | (EconomicTerms) → boolean | Qualifies a product as having the Asset Class classification Credit Default. |
| Qualify_AssetClass_Equity | (EconomicTerms) → boolean | — |
| Qualify_AssetClass_ForeignExchange | (EconomicTerms) → boolean | Qualifies a product as having the Asset Class classification Foreign Exchange |
| Qualify_AssetClass_InterestRate | (EconomicTerms) → boolean | Qualifies a product as having the Asset Class classification Interest Rate. |
| Qualify_BaseProduct_CrossCurrency | (EconomicTerms) → boolean | Qualifies a product as having the Base Product classification Cross Currency. |
| Qualify_BaseProduct_EquityForward | (EconomicTerms) → boolean | Qualifies a product as having the Asset Class classification Equity and Base Product Classification Forward. |
| Qualify_BaseProduct_EquitySwap | (EconomicTerms) → boolean | Qualifies a product as having the Asset Class classification Equity and Base Product Classification Swap. |
| Qualify_BaseProduct_Fra | (EconomicTerms) → boolean | Qualifies a product as having the Base Product classification Forward Rate Agreement |
| Qualify_BaseProduct_Inflation | (EconomicTerms) → boolean | Qualifies a product as having the Base Product classification Inflation Swap |
| Qualify_BaseProduct_IRSwap | (EconomicTerms) → boolean | Qualifies a product as having the Base Product classification Interest Rate Swap. |
| Qualify_BuySellBack | (EconomicTerms) → boolean | Qualifies a product as a Buy/Sell Back based on the repo trate of the trade (ie the interest charges) being defined in an InterestRatePayout and the asset that is bought and sold being defined in an AssetPayout in a CollateralPosition, along with an enumerator to distinguish ths product type from a traditional repurchase ageement. |
| Qualify_Commodity_Forward | (EconomicTerms) → boolean | Qualifies a product as a Forward that will be settled with the physical delivery of a Commodity. The determination of the qualification is based on the economic terms and the following criteria: 1) One pricing Leg represented by either the FixedPricePayout or the CommodityPayout, 2) One physical Leg represented by the ForwardPayout, with an underlier that is a commodity, and 3) there are no other payout types. |
| Qualify_Commodity_Option | (EconomicTerms) → boolean | Qualifies a product as a Option that can be exercised into an Commodity. |
| Qualify_Commodity_Option_Cash | (EconomicTerms) → boolean | Qualifies a product as a Option that can be exercised into an Commodity. |
| Qualify_Commodity_Option_NonStandard | (EconomicTerms) → boolean | Qualifies a product as an Commodity Option (Non-Standard) with properties of an Commodity Option with non standard terms. |
| Qualify_Commodity_Option_Physical | (EconomicTerms) → boolean | Qualifies a product as a Option that can be exercised into an Commodity. |
| Qualify_Commodity_Swap_Basis | (EconomicTerms) → boolean | Qualifies a product as a Basis Commodity Swap. The determination of the qualification is based on the economic terms and the following criteria: 1) Two Floating Legs represented by the CommodityPayout, with an underlier that is a commodity, and 2) there are no other payout types. |
| Qualify_Commodity_Swap_FixedFloat | (EconomicTerms) → boolean | Qualifies a product as a Fixed Float Commodity Swap. The determination of the qualification is based on the economic terms and the following criteria: 1) One Floating Leg represented by the CommodityPayout, with an underlier that is a commodity, 2) One Fixed Leg represented by the FixedPricePayout, and 3) there are no other payout types. |
| Qualify_Commodity_Swaption | (EconomicTerms) → boolean | Qualifies a product as a Swaption that can be exercised into a Commodity Swap, which could be any type of interest rate product with two legs based on the economic terms. |
| Qualify_Credit_Option_NonStandard | (EconomicTerms) → boolean | Qualifies a product as an Credit Option (Non-Standard) with properties of an Credit Option with non standard terms. |
| Qualify_CreditDefaultSwap_Basket | (EconomicTerms) → boolean | Qualifies a product as a Credit Default Swap which provides protection relative to defaults of a reference entity that is a loan. The determination of the qualification is based on the economic terms and the following criteria: 1) A product with one credit default leg and one interest leg, 2) the reference entity is a loan, and there are no option features. |
| Qualify_CreditDefaultSwap_Index | (EconomicTerms) → boolean | Qualifies a product as a Credit Default Swap which provides protection relative to the performance of an index. The determination of the qualification is based on the economic terms and the following criteria: 1) A product with one credit default leg and one interest leg, 2) the reference entity is an index, and 3) there are no option features. |
| Qualify_CreditDefaultSwap_IndexTranche | (EconomicTerms) → boolean | Qualifies a product as a Credit Default Swap which provides protection relative to the performance of an index. The determination of the qualification is based on the economic terms and the following criteria: 1) A product with one credit default leg and one interest leg, 2) the reference entity is an index, and 3) there are no option features. |
| Qualify_CreditDefaultSwap_Loan | (EconomicTerms) → boolean | Qualifies a product as a Credit Default Swap which provides protection relative to defaults of a reference entity that is a loan. The determination of the qualification is based on the economic terms and the following criteria: 1) A product with one credit default leg and one interest leg, 2) the reference entity is a loan, and there are no option features. |
| Qualify_CreditDefaultSwap_SingleName | (EconomicTerms) → boolean | Qualifies a product as a Credit Default Swap which provides protection relative to defaults of a reference entity that could be a corporate, municipal, sovereign, or special purpose vehicle issuer of publicly traded debt. The determination of the qualification is based on the economic terms and the following criteria: 1) A product with one credit default leg and one interest leg, 2) the reference entity is corporate, municipal, or sovereign issuer of debt, 3) the reference obligation is not a loan, and 4) there are no option features. |
| Qualify_CreditDefaultSwaption | (EconomicTerms) → boolean | This product qualification is temporary until such time that the ISDA Credit Group specifies a proper taxonomy for credit derivatives that is based upon economic terms. |
| Qualify_Equity_OtherForward | (EconomicTerms) → boolean | Qualifies a product with properties of an Exotic Forward as Equity Forward (Other) |
| Qualify_Equity_OtherOption | (EconomicTerms) → boolean | Qualifies a product with properties of an Exotic Option as Equity Option (Other) |
| Qualify_Equity_Swap_NonStandard | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap (Non-Standard) with properties of an Equity Swap with non standard terms. |
| Qualify_EquityForward_PriceReturnBasicPerformance_Basket | (EconomicTerms) → boolean | Qualifies a product as an Equity Forward with an basket as underlier. |
| Qualify_EquityForward_PriceReturnBasicPerformance_SingleIndex | (EconomicTerms) → boolean | Qualifies a product as an Equity Forward with an index as underlier. |
| Qualify_EquityForward_PriceReturnBasicPerformance_SingleName | (EconomicTerms) → boolean | Qualifies a product as a plain vanilla Equity Forward with a single stock as an underlier. |
| Qualify_EquityOption_ParameterReturnCorrelation_Basket | (EconomicTerms) → boolean | Qualifies a product as an Equity Correlation Basket Option. The determination of the qualification is based on the economic terms and the following criteria: 1) The product contains a single option payout and 2) the underlying product is a Basket Equity Correlation Swap |
| Qualify_EquityOption_ParameterReturnDividend_Basket | (EconomicTerms) → boolean | Qualifies a product as an Equity Dividend Basket Option. The determination of the qualification is based on the economic terms and the following criteria: 1) The product contains a single option payout and 2) the underlying product is a Basket Equity Dividend Swap |
| Qualify_EquityOption_ParameterReturnDividend_Index | (EconomicTerms) → boolean | Qualifies a product as an Equity Dividend Index Option. The determination of the qualification is based on the economic terms and the following criteria: 1) The product contains a single option payout and 2) the underlying product is an Index Equity Dividend Swap |
| Qualify_EquityOption_ParameterReturnDividend_SingleName | (EconomicTerms) → boolean | Qualifies a product as an Equity Dividend Single Name Option. The determination of the qualification is based on the economic terms and the following criteria: 1) The product contains a single option payout and 2) the underlying product is a Single Name Equity Dividend Swap |
| Qualify_EquityOption_ParameterReturnVariance_Basket | (EconomicTerms) → boolean | Qualifies a product as an Equity Variance Basket Option. The determination of the qualification is based on the economic terms and the following criteria: 1) The product contains a single option payout and 2) the underlying product is a Basket Equity Variance Swap |
| Qualify_EquityOption_ParameterReturnVariance_Index | (EconomicTerms) → boolean | Qualifies a product as an Equity Variance Index Option. The determination of the qualification is based on the economic terms and the following criteria: 1) The product contains a single option payout and 2) the underlying product is aan Index Equity Variance Swap |
| Qualify_EquityOption_ParameterReturnVariance_SingleName | (EconomicTerms) → boolean | Qualifies a product as an Equity Variance Single Name Option. The determination of the qualification is based on the economic terms and the following criteria: 1) The product contains a single option payout and 2) the underlying product is a Single Name Equity Variance Swap |
| Qualify_EquityOption_ParameterReturnVolatility_Basket | (EconomicTerms) → boolean | Qualifies a product as an Equity Volatility Basket Option. The determination of the qualification is based on the economic terms and the following criteria: 1) The product contains a single option payout and 2) the underlying product is a Basket Equity Volatility Swap |
| Qualify_EquityOption_ParameterReturnVolatility_Index | (EconomicTerms) → boolean | Qualifies a product as an Equity Volatility Index Option. The determination of the qualification is based on the economic terms and the following criteria: 1) The product contains a single option payout and 2) the underlying product is aan Index Equity Volatility Swap |
| Qualify_EquityOption_ParameterReturnVolatility_SingleName | (EconomicTerms) → boolean | Qualifies a product as an Equity Volatility Single Name Option. The determination of the qualification is based on the economic terms and the following criteria: 1) The product contains a single option payout and 2) the underlying product is a Single Name Equity Volatility Swap |
| Qualify_EquityOption_PriceReturnBasicPerformance_Basket | (EconomicTerms) → boolean | Qualifies a product as an Equity Option with a basket underlier. The determination of the qualification is based on the economic terms and the following criteria: 1) An option product for which the underlier is a basket and 2) No special option feature exists other than option averaging. |
| Qualify_EquityOption_PriceReturnBasicPerformance_Index | (EconomicTerms) → boolean | Qualifies a product as an Equity Option with an index as underlier. The determination of the qualification is based on the economic terms and the following criteria: 1) An option product for which the underlier is an index and 2) No special option feature exists other than option averaging. |
| Qualify_EquityOption_PriceReturnBasicPerformance_SingleName | (EconomicTerms) → boolean | Qualifies a product as a plain vanilla Equity Option. The determination of the qualification is based on the economic terms and the following criteria: 1) An option product for which the underlier is a single stock and 2) No special option feature exists other than option averaging. |
| Qualify_EquitySwap_ParameterReturnCorrelation_Basket | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on changes in the correlation between the constituents of a basket. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with a single performance leg, 4) which has correlation return terms, 5) the underlier is a basket, and 6) there are no option features. |
| Qualify_EquitySwap_ParameterReturnDispersion | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the variance changes in several legs. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) more than one performance leg, 4) all of which have variance return terms, and 5) there are no option features. |
| Qualify_EquitySwap_ParameterReturnDividend_Basket | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the dividend returns of a basket. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with one fixed price leg and one performance leg 4) which has dividend return terms, 5) the underlier is a basket, and 6) there are no option features. |
| Qualify_EquitySwap_ParameterReturnDividend_Index | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the dividend returns of an index. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with one fixed price leg and one performance leg 4) which has dividend return terms, 5) the underlier is an index, and 6) there are no option features. |
| Qualify_EquitySwap_ParameterReturnDividend_SingleName | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the dividend returns of a single stock. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with one fixed price leg and one performance leg 4) which has dividend return terms, 5) the underlier is a single stock, and 6) there are no option features. |
| Qualify_EquitySwap_ParameterReturnVariance_Basket | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the variance changes on a basket. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with a single performance leg, 4) which has variance return terms, 5) the underlier is a basket, and 6) there are no option features. |
| Qualify_EquitySwap_ParameterReturnVariance_Index | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the variance changes on an index. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with a single performance leg, 4) which has variance return terms, 5) the underlier is an index, and 6) there are no option features. |
| Qualify_EquitySwap_ParameterReturnVariance_SingleName | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the variance changes on a single stock. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with a single performance leg, 4) which has variance return terms, 4) the underlier is a single stock, and 5) there are no option features. |
| Qualify_EquitySwap_ParameterReturnVolatility_Basket | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the volatility changes on a basket. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with a single performance leg, 4) which has volatility return terms, 5) the underlier is a basket, and 6) there are no option features. |
| Qualify_EquitySwap_ParameterReturnVolatility_Index | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the volatility changes on an index. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with a single performance leg, 4) which has volatility return terms, 5) the underlier is an index, and 6) there are no option features. |
| Qualify_EquitySwap_ParameterReturnVolatility_SingleName | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the volatility changes on a single stock. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with a single performance leg, 4) which has volatility return terms, 5) the underlier is a single stock, and 6) there are no option features. |
| Qualify_EquitySwap_PriceReturnBasicPerformance_Basket | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the price change on a basket. The determination of the qualification is based on the economic terms and the following criteria: 1) An equity product with one performance leg and one interest leg 2) with the former featuring priceReturnTerms, 3) the underlier is a basket and 4) there are no option features. |
| Qualify_EquitySwap_PriceReturnBasicPerformance_Index | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the price change on an index. The determination of the qualification is based on the economic terms and the following criteria: 1) An equity product with one performance leg and one interest leg 2) with the former featuring priceReturnTerms, 3) the underlier is an index, and 4) there are no option features. |
| Qualify_EquitySwap_PriceReturnBasicPerformance_SingleName | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the price change on a single stock. The determination of the qualification is based on the economic terms and the following criteria: 1) An equity product with one performance leg and one interest leg 2) with the former featuring priceReturnTerms, 3) the underlier is an equity security, a fund, an exchange traded fund, mutual fund, or warrant, and 4) there are no option features. |
| Qualify_EquitySwap_TotalReturnBasicPerformance_Basket | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the price changes and dividend returns on a basket. The determination of the qualification is based on the economic terms and the following criteria: 1) An equity product with one performance leg and one interest leg 2) with the former featuring priceReturnTerms and dividendReturnTerms, 3) the underlier is a basket and 4) there are no option features. |
| Qualify_EquitySwap_TotalReturnBasicPerformance_Index | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the price changes and dividend returns on an index. The determination of the qualification is based on the economic terms and the following criteria: 1) An equity product with one performance leg and one interest leg 2) with the former featuring priceReturnTerms and dividendReturnTerms, 3) the underlier is an index, and 4) there are no option features. |
| Qualify_EquitySwap_TotalReturnBasicPerformance_SingleName | (EconomicTerms) → boolean | Qualifies a product as an Equity Swap for which the performance is based on the price changes and dividend returns on a single stock. The determination of the qualification is based on the economic terms and the following criteria: 1) An equity product with one performance leg and one interest leg 2) with the former featuring priceReturnTerms and dividendReturnTerms, 3) the underlier is an equity security, a fund, an exchange traded fund, mutual fund, or warrant, and 4) there are no option features |
| Qualify_ForeignExchange_NDF | (EconomicTerms) → boolean | Qualifies a product as Foreign Exchange Non-Deliverable Forward based on economic terms, which is defined as a Forward transaction where the notional amount of one of the currencies (the reference currency) is converted into the other currency (the settlement currency) at a spot foreign exchange rate that is observed on a valuation date prior to the settlement date, and a single net payment in the settlement currency is made on the settlement date. No payment or account transfer takes place in the reference currency. |
| Qualify_ForeignExchange_NDO | (EconomicTerms) → boolean | Qualifies a product as FX Non Deliverable Option based on economic terms, which is defined as one where exercise style is European only. |
| Qualify_ForeignExchange_NDS | (EconomicTerms) → boolean | Qualifies a product as Foreign Exchange NDS based on economic terms, which is defined as a contract in which one party borrows one currency from, and simultaneously lends another to, the second party. Each party uses the repayment obligation to its counterparty as collateral and the amount of repayment is fixed at the FX forward rate as of the start of the contract. |
| Qualify_ForeignExchange_ParameterReturnCorrelation | (EconomicTerms) → boolean | Qualifies a product as Foreign Exchange Swap for which the performance is based on the correlation changes between the constituents of a basket. The determination of the qualification is based on the economic terms and the following criteria: 1) Is a product with with only one performance leg 2) which has correlation return terms, 3) with a basket underlier 4) which is exclusively constituted by foreign exchange constituents and 5) there are no option features. |
| Qualify_ForeignExchange_ParameterReturnVariance | (EconomicTerms) → boolean | Qualifies a product as Foreign Exchange Swap for which the performance is based on the variance of a foreign exhange underlier. The determination of the qualification is based on the economic terms and the following criteria: 1) Is a Foreign Exchange product (the underlier is foreign exchange) 2) with only one performance leg 3) which has variance return terms, 4) there are no option features. |
| Qualify_ForeignExchange_ParameterReturnVolatility | (EconomicTerms) → boolean | Qualifies a product as Foreign Exchange Swap for which the performance is based on the volatility of a foreign exchange underlier. The determination of the qualification is based on the economic terms and the following criteria: 1) Is a Foreign Exchange product (the underlier is foreign exchange) 2) with only one performance leg 3) which has volatility return terms, 4) there are no option features. |
| Qualify_ForeignExchange_Spot_Forward | (EconomicTerms) → boolean | Qualifies a product as Foreign Exchange based on economic terms, which is defined as an agreement to buy one currency against the delivery of another currency at a rate set on the trade date for settlement on a specified date in the future. Dependent on conventions specific to local markets the product could be considered either Spot or Forward. |
| Qualify_ForeignExchange_Swap | (EconomicTerms) → boolean | Qualifies a product as Foreign Exchange Swap based on economic terms, which is defined as a contract in which one party borrows one currency from, and simultaneously lends another to, the second party. Each party uses the repayment obligation to its counterparty as collateral and the amount of repayment is fixed at the FX forward rate as of the start of the contract. |
| Qualify_ForeignExchange_VanillaOption | (EconomicTerms) → boolean | Qualifies a product as FX Plain Vanilla Option based on economic terms, which is defined as one where 1) exercise style is American or European style only, and 2) does not contain any feature like Forward Starting Strike or Performance payout. |
| Qualify_InterestRate_CapFloor | (EconomicTerms) → boolean | Qualifies a product as an interest rate cap, interest rate floor, or an interest rate collar based on the economic terms and the following criteria: 1) An interest rate product with one one leg that includes a cap and/or a floor. |
| Qualify_InterestRate_CrossCurrency_Basis | (EconomicTerms) → boolean | Qualifies a product as a Basis (Float-Float) Cross Currency Interest Rate Swap based on the economic terms and the following criteria: 1) An interest rate product with two floating legs, a cross-currency feature in one or both legs, and more than one payment, 2) but without inflation features, and 3) could be a 'zero coupon' and floating leg index could be OIS or non-OIS. |
| Qualify_InterestRate_CrossCurrency_FixedFixed | (EconomicTerms) → boolean | Qualifies a product as a Fixed-Fixed Cross-Currency Interest Rate Swap based on the economic terms and the following criteria: 1) An interest rate product with two fixed legs and a cross-currency feature and more than one payment, 2) without inflation features and 3) could be a 'zero coupon' |
| Qualify_InterestRate_CrossCurrency_FixedFloat | (EconomicTerms) → boolean | Qualifies a product as a Fixed-Float Cross-Currency Interest Rate Swap based on the economic terms and the following criteria: 1) An interest rate product with one fixed and one floating leg and a cross-currency feature and more than one payment, 2) without inflation features and 3) could be a 'zero coupon' and the floating leg index could be OIS or non-OIS. |
| Qualify_InterestRate_Forward_Debt | (EconomicTerms) → boolean | Qualifies a product as Interest Rate Bond Forward based on economic terms, which is defined as a transaction in which one party agrees to pay an agreed price for a specified amount of a bond of an issuer or a basket of bonds of several issuers at a future date and the other party agrees to pay a price for the same amount of the same bond to be set on a specified date in the future. |
| Qualify_InterestRate_Fra | (EconomicTerms) → boolean | Qualifies the product as a Floating Rate Agreement based on the economic terms and the following criteria: 1) An interest rate product with one fixed and one floating leg, each of which has a single payment, and 2) could include a cross-currency feature, and the floating rate leg could be based OIS index. |
| Qualify_InterestRate_InflationSwap_Basis_YearOn_Year | (EconomicTerms) → boolean | Qualifies a product as a Basis (Float-Float) Annual Reset Inflation Swap based on the economic terms and the following criteria: 1) An interest rate product with one floating interest rate leg and one inflation rate leg and more than one payment, and 2) without cross-currency features or 'zero coupon' features. |
| Qualify_InterestRate_InflationSwap_Basis_ZeroCoupon | (EconomicTerms) → boolean | Qualifies a product as a Basis (Float-Float) Inflation Swap based on the economic terms and the following criteria: 1) An interest rate product with one floating interest rate leg and one inflation interest rate leg, 2) where the floating leg is not based on an OIS index, 3) where the inflation leg features an inflation floating rate, 4) where an interest rate payout is made at maturity into a singular payment and 5) without cross-currency features. |
| Qualify_InterestRate_InflationSwap_FixedFloat_YearOn_Year | (EconomicTerms) → boolean | Qualifies a product as a Fixed-Float Annual Reset Inflation Swap based on the economic terms and the following criteria: 1) An interest rate product with one fixed and one inflation rate leg and more than one payment, and 2) without cross-currency features or 'zero coupon' features. |
| Qualify_InterestRate_InflationSwap_FixedFloat_ZeroCoupon | (EconomicTerms) → boolean | Qualifies a product as a Fixed-Float Inflation Swap based on the economic terms and the following criteria: 1) An interest rate product with one fixed and one inflation rate leg, 2) where the fixed leg represents one singular payment agreed upon execution and to be made at maturity, 3) where the inflation leg features an inflation floating rate and 4) without cross-currency features. |
| Qualify_InterestRate_IRSwap_Basis | (EconomicTerms) → boolean | Qualifies a product as a Basis (Float-Float) Interest Rate Swap based on the economic terms and the following criteria: 1) An interest rate product with two floating legs and more than one payment, 2) without inflation features or cross-currency features but could have 'zero coupon' features, and 3) where neither floating leg is based on an OIS index. |
| Qualify_InterestRate_IRSwap_Basis_OIS | (EconomicTerms) → boolean | Qualifies a product as a Basis (Fixed-Float) OIS Interest Rate Swap based on the economic terms and the following criteria: 1) An interest rate product with two floating legs and more than one payment and where one or both the floating leg is based on an OIS index, 2) without inflation features or cross-currency features, and 3) could include 'zero coupon' features. |
| Qualify_InterestRate_IRSwap_FixedFixed | (EconomicTerms) → boolean | Qualifies a product as a Fixed-Fixed Interest Rate Swap based on the economic terms and the following criteria: 1) An interest rate product with two fixed legs and more than one payment and 2) without inflation features or cross-currency features but could have 'zero coupon' features. |
| Qualify_InterestRate_IRSwap_FixedFloat | (EconomicTerms) → boolean | Qualifies a product as a Fixed-Float Interest Rate Swap based on the economic terms and the following criteria: 1) An interest rate product with one fixed and one floating leg and more than one payment, 2) without inflation features or cross-currency features or 'zero coupon' features, and 3) where the floating leg is not based on an OIS index. |
| Qualify_InterestRate_IRSwap_FixedFloat_OIS | (EconomicTerms) → boolean | Qualifies a product as a Fixed-Float OIS Interest Rate Swap based on the economic terms and the following criteria: 1) An interest rate product with one fixed and one floating leg and more than one payment and where the floating leg is based on an OIS index, 2) without inflation features or cross-currency features, and 3) could include 'zero coupon' features. |
| Qualify_InterestRate_IRSwap_FixedFloat_ZeroCoupon | (EconomicTerms) → boolean | Qualifies a product as a Fixed-Float Zero Coupon Interest Rate Swap based on the economic terms and the following criteria: 1) An interest rate product with one fixed and one floating leg, 2) where the fixed leg represents one singular payment agreed upon execution and to be made at maturity, 3) where the floating leg is not based on an OIS index and 4) without any inflation features or cross-currency features. |
| Qualify_InterestRate_Option_DebtOption | (EconomicTerms) → boolean | Qualifies a product as a Option that can be exercised into an Debt Product based on the economic terms. |
| Qualify_InterestRate_Option_Swaption | (EconomicTerms) → boolean | Qualifies a product as a Swaption that can be exercised into an Interest Rate Swap, which could be any type of interest rate product with two legs based on the economic terms. |
| Qualify_RepurchaseAgreement | (EconomicTerms) → boolean | Qualifies a product as a Repurchase Agreement based on the repo trate of the trade (ie the interest charges) being defined in an InterestRatePayout and the asset that is bought and sold being defined in an AssetPayout in a CollateralPosition. |
| Qualify_SecurityLending | (EconomicTerms) → boolean | Qualifies a product as Securities Lending based on the asset to be lent (usually a security) being defined in a singular AssetPayout, with the collateral, which can be an asset (usually cash or securities), defined in a CollateralPortfolio. |
| Qualify_SecurityTypeEquity | (Security) → boolean | Qualifies that the security type, for all of the provided securities, is Equity-related. |
| Qualify_SubProduct_Basis | (EconomicTerms) → boolean | Qualifies a product as having the Sub Product classification Basis |
| Qualify_SubProduct_FixedFixed | (EconomicTerms) → boolean | Qualifies a product as having the Sub Product classification Fixed Fixed |
| Qualify_SubProduct_FixedFloat | (EconomicTerms) → boolean | Qualifies a product as having the Sub Product classification Fixed Float |
| Qualify_TotalReturnSwap_Index | (EconomicTerms) → boolean | Qualifies a product as a Total Return Swap Index based on the following qualification criteria: 1) A product which qualifies as Credit, 2) has an interest rate leg and a performance leg, and 3) has performance leg underlier as Index. |
| Qualify_Transaction_OIS | (EconomicTerms) → boolean | Qualifies a product as having the Transaction classification OIS |
| Qualify_Transaction_YoY | (EconomicTerms) → boolean | Qualifies a product as having the Transaction classification Year on Year |
| Qualify_Transaction_ZeroCoupon | (EconomicTerms) → boolean | Qualifies a product as having the Transaction classification Zero Coupon. The determination of the qualification is based on the following criteria: 1) The interest rate payout has a payment frequency of term or 2) the maximum frequency period corresponds to the duration of the contract. |
| Qualify_Transaction_ZeroCoupon_KnownAmount | (EconomicTerms) → boolean | Qualifies a product as having the Transaction classification Zero Coupon with a Known Amount. This category applies to a Zero Coupon Swap in which the fixed leg pays a known amount at maturity. |
| Qualify_UnderlierObservable_Equity | (Observable) → boolean | Qualifies an Observable as having the Asset Class classification Equity. |
| SettlementPayoutOnlyExists | (Payout) → boolean | At least one SettlementPayout exists and no other payouts exist. |
| UnderlierQualification | (Underlier, SecurityTypeEnum, AssetClassEnum) → boolean | Identifies whether the underlier(s) have either the specified securityType or assetClass. |
8 functions · product · template
| Function | Signature | Description |
|---|---|---|
| AddTradeLot | (TradableProduct, TradeLot) → TradableProduct | Add a TradeLot to an existing list of TradeLots. |
| CompareTradeLot | (TradeLot, CompareOp, TradeLot) → boolean | Compare the Quantity in TradeLot 1 to the Quantity (with the same unit of amount) in TradeLot 2, based on the CompareOp enum. |
| CompareTradeLotToAmount | (TradeLot, CompareOp, number) → boolean | Compare the Quantity amount in TradeLot to the given amount (regardless of unit of amount), based on the CompareOp enum. |
| Create_AssetFlowFromSettlementPayout | (SettlementPayout) → AssetFlow | Generates two opposite cashflows that correspond to a settlement payout. One leg is the asset leg, that settles the asset according to the quantity, direction and date defined in the settlement payout. The other is the price leg, that settles the price as a currency amount going in the opposite direction. The function's applicability is limited on purpose to a single asset with a single price and quantity specified. |
| FilterTradeLot | (TradeLot, Identifier) → TradeLot | Filter list of TradeLot based on TradeLot->lotIdentifier. |
| FXFarLeg | (NonTransferableProduct) → SettlementPayout | Extracts the far leg of an FX swap (deliverable or not) based on two criteria: the forward payout with the latest value date or the forward payout with the latest settlement date. |
| ReplaceTradeLot | (TradeLot, TradeLot) → TradeLot | Replace TradeLot in with matching TradeLot->lotIdentifier. |
| UnderlierForOptionOrForwardProduct | (NonTransferableProduct) → Underlier | Extracts the underlier from an option or a forward. |
No function matches.
CDM Node runs them once, as a service, so your applications don't each carry their own version of qualification and lifecycle.