@finbourne/lusid-sdk-angular8
Version:
An angular (8+) SDK for secure access to the LUSID® by FINBOURNE web API
75 lines (74 loc) • 4.28 kB
TypeScript
import { IndexConvention } from './indexConvention';
import { LusidInstrument } from './lusidInstrument';
/**
* LUSID representation of a Forward Rate Agreement.
*/
export interface ForwardRateAgreement {
/**
* The settlement date of the FRA
*/
startDate: Date;
/**
* The final maturity date of the instrument. This means the last date on which the instruments makes a payment of any amount. For the avoidance of doubt, that is not necessarily prior to its last sensitivity date for the purposes of risk; e.g. instruments such as Constant Maturity Swaps (CMS) often have sensitivities to rates beyond their last payment date.
*/
maturityDate: Date;
/**
* The domestic currency of the instrument.
*/
domCcy: string;
/**
* The date at which the rate to be paid, the reference rate, is confirmed/observed.
*/
fixingDate: Date;
/**
* The rate at which the FRA is traded.
*/
fraRate: number;
/**
* The amount for which the FRA is traded.
*/
notional: number;
indexConvention?: IndexConvention;
/**
* The available values are: QuotedSecurity, InterestRateSwap, FxForward, Future, ExoticInstrument, FxOption, CreditDefaultSwap, InterestRateSwaption, Bond, EquityOption, FixedLeg, FloatingLeg, BespokeCashFlowsLeg, Unknown, TermDeposit, ContractForDifference, EquitySwap, CashPerpetual, CapFloor, CashSettled, CdsIndex, Basket, FundingLeg, FxSwap, ForwardRateAgreement, SimpleInstrument, Repo, Equity, ExchangeTradedOption, ReferenceInstrument, ComplexBond, InflationLinkedBond, InflationSwap
*/
instrumentType: ForwardRateAgreement.InstrumentTypeEnum;
}
export declare namespace ForwardRateAgreement {
type InstrumentTypeEnum = 'QuotedSecurity' | 'InterestRateSwap' | 'FxForward' | 'Future' | 'ExoticInstrument' | 'FxOption' | 'CreditDefaultSwap' | 'InterestRateSwaption' | 'Bond' | 'EquityOption' | 'FixedLeg' | 'FloatingLeg' | 'BespokeCashFlowsLeg' | 'Unknown' | 'TermDeposit' | 'ContractForDifference' | 'EquitySwap' | 'CashPerpetual' | 'CapFloor' | 'CashSettled' | 'CdsIndex' | 'Basket' | 'FundingLeg' | 'FxSwap' | 'ForwardRateAgreement' | 'SimpleInstrument' | 'Repo' | 'Equity' | 'ExchangeTradedOption' | 'ReferenceInstrument' | 'ComplexBond' | 'InflationLinkedBond' | 'InflationSwap';
const InstrumentTypeEnum: {
QuotedSecurity: LusidInstrument.InstrumentTypeEnum;
InterestRateSwap: LusidInstrument.InstrumentTypeEnum;
FxForward: LusidInstrument.InstrumentTypeEnum;
Future: LusidInstrument.InstrumentTypeEnum;
ExoticInstrument: LusidInstrument.InstrumentTypeEnum;
FxOption: LusidInstrument.InstrumentTypeEnum;
CreditDefaultSwap: LusidInstrument.InstrumentTypeEnum;
InterestRateSwaption: LusidInstrument.InstrumentTypeEnum;
Bond: LusidInstrument.InstrumentTypeEnum;
EquityOption: LusidInstrument.InstrumentTypeEnum;
FixedLeg: LusidInstrument.InstrumentTypeEnum;
FloatingLeg: LusidInstrument.InstrumentTypeEnum;
BespokeCashFlowsLeg: LusidInstrument.InstrumentTypeEnum;
Unknown: LusidInstrument.InstrumentTypeEnum;
TermDeposit: LusidInstrument.InstrumentTypeEnum;
ContractForDifference: LusidInstrument.InstrumentTypeEnum;
EquitySwap: LusidInstrument.InstrumentTypeEnum;
CashPerpetual: LusidInstrument.InstrumentTypeEnum;
CapFloor: LusidInstrument.InstrumentTypeEnum;
CashSettled: LusidInstrument.InstrumentTypeEnum;
CdsIndex: LusidInstrument.InstrumentTypeEnum;
Basket: LusidInstrument.InstrumentTypeEnum;
FundingLeg: LusidInstrument.InstrumentTypeEnum;
FxSwap: LusidInstrument.InstrumentTypeEnum;
ForwardRateAgreement: LusidInstrument.InstrumentTypeEnum;
SimpleInstrument: LusidInstrument.InstrumentTypeEnum;
Repo: LusidInstrument.InstrumentTypeEnum;
Equity: LusidInstrument.InstrumentTypeEnum;
ExchangeTradedOption: LusidInstrument.InstrumentTypeEnum;
ReferenceInstrument: LusidInstrument.InstrumentTypeEnum;
ComplexBond: LusidInstrument.InstrumentTypeEnum;
InflationLinkedBond: LusidInstrument.InstrumentTypeEnum;
InflationSwap: LusidInstrument.InstrumentTypeEnum;
};
}