Instrument Types

On this page we describe the instrument types currently implemented and the necessary input data to create a new instrument instance.

Date and Tenor Conventions

Fields like TradeDate, EffectiveDate, TermDate or RollDate can be either filled with a date in ISO convention or with various tenor strings relative to an anchor date (the anchor date, the business day calendars, and the default business day adjustment rule to be applied are described for each instrument type below):

an absolute date in ISO convention. Example: 2018-07-18
the number of business days to be added to or subtracted from the anchor date. Examples: 2bd or -5bd or 0bd.
a tenor with specified business day adjustment rule to be added to or subtracted from the anchor date. Examples: 1w/FOLLOWING or -1m/MODPRECEDING.
a tenor without specified business day adjustment rule to be added to or subtracted from the anchor date. Examples: 10y or -1w. A default business day adjustment rule is used here (in case it is needed)

Par Trade Conventions

For all instrument types the service can determine a coupon (or spread or strike, depending on the instrument type) which makes the instrument trade at par, i.e. the present value of the trade is zero. You can invoke this feature by the keyword @par followed by an additional spread to be added to the fair coupon (or spread or strike). Example: @par+0.0 with trade date equal to reference date should produce a trade with zero present value, @par-0.002 would reduce the fair coupon (or spread or strike) by 20 basis points.

Fix-Float Swap

This instrument type covers single currency fixed rate versus floating rate swaps. It is assumed that these trades are collateralized in the trading currency, i.e. the cashflows are discounted with the corresponding OIS curves. Both standard Tenor and Overnight Index compounded floating legs are possible.

Field Name	Value / Example	Description
RefIndex	EUR-EURI03M EUR-EUEO01D	The rate reference index of the floating leg. Determines the trade currency. Tenor ref index or Overnight ref index
ResetType	AUTOMATIC SIMPLE COMPOUNDED_SIMPLE	AUTOMATIC: sets reset type to SIMPLE if RefIndex Tenor >= FloatFreq, else to COMPOUNDED_SIMPLE For standard tenor swaps: SIMPLE For OIS: COMPOUNDED_SIMPLE
FirstFixing	float or empty	The interest rate to be used for the first fixing of RefIndex. If empty the first fixing is estimated from the forward curve (if in the future) or taken from timeseries (if in the past).
FloatFreq	3m	Length of the accrual periods of the float leg
PayLagFloat	integer >=0	Number of business days between end of accrual period and payment of the float leg
FixedFreq	1y	Length of the accrual periods of the fix leg
FixedAdjustMeth	MODFOLLOWING	Business day adjustment rule for determining the start/end dates of the accrual periods for the fix leg
FixedIsAdjusted	yes / no	no: start/end of accrual periods of the fix leg can fall on holidays
PayLagFixed	integer >=0	Number of business days between end of accrual period and payment of the fix leg
TradeDate	date or tenor or business days (0bd etc.)	in case of tenor or business days: anchor date: Reference Date; calendar: union of calendar of trade currency and fixing calendar of RefIndex; default business day adjustment rule: FOLLOWING
EffectiveDate	date or tenor or business days (0bd etc.)	in case of tenor or business days: anchor date: add the standard number of spot business days for that currency to TradeDate using the union of calendar of trade currency and fixing calendar of RefIndex; calendar: calendar of trade currency; default business adjustment rule: FOLLOWING
TermDate	date or tenor	in case of tenor: anchor date: EffectiveDate; calendar: calendar of trade currency; default business adjustment rule: the one in the RefIndex
RollDate	date or tenor	anchor point for cashflow rollout. In case of tenor: anchor date: EffectiveDate; calendar: none (not adjusted for holidays)
First(Last)Stub	Short or Long Stub	If the first (last) cashflow period is a short one: Short: leave it that way, Long: merge with next (previous) cashflow period to an extra-long one.
Coupon	float or @par+0.001 etc.	Annual coupon rate of the fix leg: @par+0.001 takes the par coupon rate and adds a spread of 10bp to it.
DayCountConv	E30360	Day count convention of the annual coupon rate
Spread	float	Spread that is added to float leg
Nominal	positive float	constant nominal between effective date and termination date
PayRec	choice list	trade direction
Alias	text(40) or empty	optional external reference of the trade. Must be unique over all instruments if provided

Example for a standard 10y EUR fix vs. 6m float swap at market:

RefIndex: EUR-EURI06M
ResetType: SIMPLE
FloatFreq: 6m, FixedFreq: 1y
PayLagFloat: 0,PayLagFixed: 0
FixedAdjustMeth: MODFOLLOWING
FixedIsAdjusted: yes
Coupon: @par+0.0
DayCountConv: E30360
EffectiveDate: 0d, TermDate: 10y, RollDate: 10y

Example for a standard 18m (5y) EUR overnight index swap at market:

RefIndex: EUR-EUEO01D
ResetType: COMPOUNDED_SIMPLE
FloatFreq: 0d for maturity<1y, 1y for maturity>=1y
FixedFreq: 0d for maturity<1y, 1y for maturity>=1y
PayLagFloat: 1,PayLagFixed: 1
FixedAdjustMeth: MODFOLLOWING
FixedIsAdjusted: yes
Coupon: @par+0.0
DayCountConv: ACT360
EffectiveDate: 0d, TermDate: 18m (5y), RollDate: 18m (5y)

FixFloat Swap Input — Input fields for a fix vs. float swap (click to enlarge)

Input fields for a fix vs. float swap (click to enlarge)

Basis Swap

This instrument type covers single currency float rate versus float rate swaps. It is assumed that these trades are collateralized in the trading currency, i.e. the cashflows are discounted with the corresponding OIS curves. There are three flavours available:

EuroStyle where the basis swap basically consists of two fixed rate vs. float rate swaps and the spread is on an extra fixed rate leg.
US Style which is market standard for basis swaps in USD. Payment frequency for both floating legs is determined by the reference index with the longer tenor. The interest rates from the reference index with the shorter tenor are compounded. A spread given always refers to the reference index with the shorter tenor.
Standard Style: payment frequencies are given by the tenors of the two reference indices. A spread given always refers to the reference index with the shorter tenor.

Field Name	Value / Example	Description
SubType	EuroStyle USStyle StandardStyle	see above
RefIndexLongTenor	EUR-EURI06M	The rate reference index of the floating leg with the longer tenor. Determines the trade currency. Tenor ref index
LongFirstFixing	float or empty	The interest rate to be used for the first fixing of the RefIndex with the longer tenor. If empty the first fixing is estimated from the forward curve (if in the future) or taken from timeseries (if in the past).
RefIndexShortTenor	EUR-EURI03M	The rate reference index of the floating leg with the shorter tenor. Determines the trade currency. Tenor ref index
ShortFirstFixing	float or empty	The interest rate to be used for the first fixing of the RefIndex with the shorter tenor. If empty the first fixing is estimated from the forward curve (if in the future) or taken from timeseries (if in the past).
TradeDate	date or tenor or business days (0bd etc.)	in case of tenor or business days: anchor date: Reference Date; calendar: union of calendar of trade currency and fixing calendars of RefIndices; default business day adjustment rule: FOLLOWING
EffectiveDate	date or tenor or business days (0bd etc.)	in case of tenor or business days: anchor date: add the standard number of spot business days for that currency to TradeDate using the union of calendar of trade currency and fixing calendars of RefIndices; calendar: calendar of trade currency; default business adjustment rule: FOLLOWING
TermDate	date or tenor	in case of tenor: anchor date: EffectiveDate; calendar: calendar of trade currency; default business adjustment rule: the one in RefIndexLongTenor
RollDate	date or tenor	anchor point for cashflow rollout. In case of tenor: anchor date: EffectiveDate; calendar: none (not adjusted for holidays)
First(Last)Stub	Short or Long Stub	If the first (last) cashflow period is a short one: Short: leave it that way, Long: merge with next (previous) cashflow period to an extra-long one.
Spread	float or @par+0.001 etc.	Spread on the reference index with the shorter tenor : @par+0.001 takes the par spread and adds an additional spread of 10bp to it. For EuroStyle the spread is assumed to be in the standard day count convention of a fix vs. float swap in that currency
Nominal	positive float	constant nominal between effective date and termination date
PayRec	choice list	trade direction
Alias	text(40) or empty	optional external reference of the trade. Must be unique over all instruments if provided

FloatFloat Swap Input — Input fields for a single currency basis swap

Input fields for a single currency basis swap

Deposit

This instrument type covers single currency fixed coupon deposits/loans. Discounting yield curve can be chosen by the user.

Field Name	Value / Example	Description
Currency	EUR
DiscountingYC	EUR-Swap-03M
Freq	1y	Tenor of the accrual periods
PayLag	integer>=0	Number of business days between end of accrual period and payment
AdjustMethod	MODFOLLOWING	Business day adjustment rule for determining the start/end dates of the accrual periods
IsAdjusted	yes / no	no: start/end of accrual periods of the fix leg can fall on holidays
SpotDays	positive integer	Number of business days between trade date and effective date of a standard trade
TradeDate	date or tenor or business days (0bd etc.)	in case of tenor or business days: anchor date: Reference Date; calendar: calendar of trade currency; default business day adjustment rule: FOLLOWING
EffectiveDate	date or tenor or business days (0bd etc.)	in case of tenor or business days: anchor date: add the number of spot business days given in SpotDays to TradeDate using the calendar of trade currency; calendar: calendar of trade currency; default business adjustment rule: FOLLOWING
TermDate	date or tenor	in case of tenor: anchor date: EffectiveDate; calendar: calendar of trade currency; default business adjustment rule: the one provided in AdjustMethod
RollDate	date or tenor	anchor point for cashflow rollout. In case of tenor: anchor date: EffectiveDate; calendar: none (not adjusted for holidays)
First(Last)Stub	Short or Long Stub	If the first (last) cashflow period is a short one: Short: leave it that way, Long: merge with next (previous) cashflow period to an extra-long one.
Coupon	float or @par+0.001 etc.	Annual coupon rate. @par+0.001 takes the par coupon and adds an additional spread of 10bp
HasInitial/FinalNominal	yes or no	Nominal cashflow at the beginning and/or at the end
DayCountConv	ACT360	Day count convention of the annual coupon rate
Nominal	positive float	constant nominal between effective date and termination date
PayRec	choice list	trade direction
Alias	text(40) or empty	optional external reference of the trade. Must be unique over all instruments if provided

Deposit Input — Input fields for a deposit

Cross Currency Basis Swap

This instrument type covers cross currency (XCCY) float rate versus float rate swaps. Currently, it is assumed that these trades are collateralized in USD, i.e. cashflows in USD are discounted with the USD-OIS curve and non-USD cashflows are discounted with the corresponding cross currency curve. There are two flavours available:

MtM Nominal where the nominal amount on the USD side is adjusted at the beginning of each accrual period to the current exchange rate.
Constant Nominal where the nominal amounts are kept constant over the lifetime of the trade.

Tenors on both rate reference indices must be equal, and their currencies must be consistent with base and quote currencies of the FX reference index.

Field Name	Value / Example	Description
SubType	MtM Nominal Constant Nominal	see above
TradeDate	date or tenor or business days (0bd etc.)	in case of tenor or business days: anchor date: Reference Date; calendar: union of calendars of base and quote currencies and fixing calendars of RefIndices; default business day adjustment rule: FOLLOWING
EffectiveDate	date or tenor or business days (0bd etc.)	in case of tenor or business days: anchor date: add the standard number of spot business days for that currency pair to TradeDate using the union of calendars of base and quote currencies and fixing calendars of RefIndices; calendar: union of calendars of base and quote currencies; default business adjustment rule: FOLLOWING
TermDate	date or tenor	in case of tenor: anchor date: EffectiveDate; calendar: union of calendars of base and quote currencies; default business adjustment rule: the one in FXRefIndex
RollDate	date or tenor	anchor point for cashflow rollout. In case of tenor: anchor date: EffectiveDate; calendar: none (not adjusted for holidays)
First(Last)Stub	Short or Long Stub	If the first (last) cashflow period is a short one: Short: leave it that way, Long: merge with next (previous) cashflow period to an extra-long one.
FXRefIndex	EURUSD-USD	The FX reference index which determines the currency pair of the XCCY basis swap.
FXFirstFixing	float or empty	The exchange rate to be used for the first fixing of the FXRefIndex. If empty the first fixing is estimated from the forward curve (if in the future) or taken from timeseries (if in the past). Use this field for a Constant Nominal swap to define the nominal amount in domestic currency.
DomRefIndex	USD-USLI03M	The rate reference index of the leg in domestic (quote) currency. Determines the trade currency. Tenor ref index
DomFirstFixing	float or empty	The interest rate to be used for the first fixing of the RefIndex on the domestic leg. If empty the first fixing is estimated from the forward curve (if in the future) or taken from timeseries (if in the past).
ForRefIndex	EUR-EURI03M	The rate reference index of the leg in foreign (base) currency. Tenor ref index
ForFirstFixing	float or empty	The interest rate to be used for the first fixing of the RefIndex on the foreign leg. If empty the first fixing is estimated from the forward curve (if in the future) or taken from timeseries (if in the past).
DomSpread	float or @par+0.001 etc.	Spread on Domestic Leg: if @par+0.001 is used: QuoteType must be SpreadOnDomesticLeg. Spread is then the par spread plus 10bp.
ForSpread	float or @par+0.001 etc.	Spread on Foreign Leg: if @par+0.001 is used: QuoteType must be SpreadOnForeignLeg. Spread is then the par spread plus 10bp.
ForNominal	positive float	Nominal in foreign currency. For MtM swaps: Constant over the lifetime of the trade if QuoteType is Spread on Foreign Leg Initial foreign nominal if QuoteType is Spread on Domestic Leg
QuoteType	Spread on Domestic Leg Spread on Foreign Leg	If @par+0.001 is used for DomSpread: must be set to Spread on Domestic Leg If @par+0.001 is used for ForSpread: must be set to Spread on Foreign Leg For MtM swaps: determines on which leg the MtM nominal adjustment is. Spread on Domestic Leg: MtM nominal adjustment on Foreign Leg, nominal on Domestic Leg is constant Spread on Foreign: MtM nominal adjustment on Domestic Leg, nominal on Foreign Leg is constant
PayRec	choice list	trade direction
Alias	text(40) or empty	optional external reference of the trade. Must be unique over all instruments if provided

Example for a standard EURUSD MtM XCCY swap (MtM on USD leg, spread on EUR leg) at market:

SubType: MtM Nominal
ForNominal: the nominal amount in EUR, constant over lifetime
FXRefIndex: EURUSD-USD, DomRefIndex: USD-USLI03M, ForRefIndex: EUR-EURI03M
DomSpread: 0.0
ForSpread: @par+0.0
QuoteType: Spread on Foreign Leg

Example for a standard USDJPY MtM XCCY swap (MtM on USD leg, spread on JPY leg) at market:

SubType: MtM Nominal
ForNominal: the initial nominal amount in USD
FXRefIndex: USDJPY-USD, DomRefIndex: JPY-JPLI03M, ForRefIndex: USD-USLI03M
DomSpread: @par+0.0
ForSpread: 0.0
QuoteType: Spread on Domestic Leg

Example for a standard GBPUSD constant nominal XCCY swap (10 mio GBP vs. 14 mio USD) at market:

SubType: Constant Nominal
ForNominal: 10000000
FXRefIndex: GBPUSD-USD, DomRefIndex: USD-USLI03M, ForRefIndex: GBP-GBLI03M
FXFirstFixing: 1.4
DomSpread: 0.0
ForSpread: @par+0.0
QuoteType: Spread on Foreign Leg

Cross Currency Basis Swap Input — Input fields for a cross currency basis swap

Input fields for a cross currency basis swap

FX Forward

This instrument covers FX forward transactions, i.e. trades where amounts in base and quote currency at a future date are exchanged at a predetermined exchange rate. Currently, it is assumed that these trades are collateralized in USD, i.e. cashflows in USD are discounted with the USD-OIS curve and non-USD cashflows are discounted with the corresponding cross currency curve.

Field Name	Value / Example	Description
TradeDate	date or tenor or business days (0bd etc.)	in case of tenor or business days: anchor date: Reference Date; calendar: union of calendars of base and quote currencies; default business day adjustment rule: FOLLOWING
SettleDate	date or tenor or business days (0bd etc.)	in case of tenor or business days: anchor date: add the standard number of spot business days for that currency pair to TradeDate using the union of calendars of base and quote currencies; calendar: union of calendars of base and quote currencies; default business adjustment rule: the one in FXRefIndex
Strike	float or @par+0.0 etc.	Predetermined exchange rate. @par+0.0 takes the current FX forward rate
FXRefIndex	EURUSD-USD	The FX reference index which determines base and quote currency in the transaction.
ForeignNominal	positive float	Nominal of the base currency
BuySell	choice list	trade direction
Alias	text(40) or empty	optional external reference of the trade. Must be unique over all instruments if provided

FX Forward Input — Input fields for FX forward

FX Swap

This instrument covers FX swap transactions, i.e. trades where amounts of base and quote currency are first exchanged at a future date (NearSettleDate) and then returned at a later date (FarSettleDate) at predetermined exchange rates. Currently, it is assumed that these trades are collateralized in USD, i.e. cashflows in USD are discounted with the USD-OIS curve and non-USD cashflows are discounted with the corresponding cross currency curve.

Field Name	Value / Example	Description
TradeDate	date or tenor or business days (0bd etc.)	in case of tenor or business days: anchor date: Reference Date; calendar: union of calendars of base and quote currencies; default business day adjustment rule: FOLLOWING
NearSettleDate	date or tenor or business days (0bd etc.)	in case of tenor or business days: anchor date: add the standard number of spot business days for that currency pair to TradeDate using the union of calendars of base and quote currencies; calendar: union of calendars of base and quote currencies; default business adjustment rule: the one in FXRefIndex
FarSettleDate	date or tenor or business days (0bd etc.)	in case of tenor or business days: anchor date: add the standard number of spot business days for that currency pair to TradeDate using the union of calendars of base and quote currencies; calendar: union of calendars of base and quote currencies; default business adjustment rule: the one in FXRefIndex
NearStrike	float or @par+0.0 etc.	Predetermined exchange rate at NearSettleDate. @par+0.0 takes the current FX forward rate
FarStrike	float or @par+0.0 etc.	Predetermined exchange rate at FarSettleDate. @par+0.0 takes the current FX forward rate
FXRefIndex	EURUSD-USD	The FX reference index which determines base and quote currency in the transaction.
ForeignNominal	positive float	Nominal of the base currency
BuySell	choice list	trade direction
Alias	text(40) or empty	optional external reference of the trade. Must be unique over all instruments if provided

FX Swap Input — Input fields for FX swap