Plain Vanilla Swap (SWPPV)
Description
Plain vanilla swaps where the underlyings are always two identical PAM´s however with one leg fixed and the other variable.
Real-world Instrument Examples (but not limited to)
More than 90% of all interest rate swaps follow this simple pattern.
Required Terms
- contractDealDate
- contractID
- contractRole
- contractType
- counterpartyID
- creatorID
- currency
- dayCountConvention
- initialExchangeDate
- marketObjectCodeOfRateReset
- maturityDate
- nominalInterestRate
- nominalInterestRate2
- notionalPrincipal
- rateSpread
- statusDate
Conditional Groups
Group 2
- Drivers: cycleAnchorDateOfInterestPayment, cycleOfInterestPayment
- Required if triggered: None
- Optional: None
Group 5
- Drivers: purchaseDate
- Required if triggered: priceAtPurchaseDate
- Optional: None
Group 6
- Drivers: terminationDate
- Required if triggered: priceAtTerminationDate
- Optional: None
Group 9
- Drivers: None
- Required if triggered: None
- Optional: cycleAnchorDateOfRateReset, cycleOfRateReset, cyclePointOfRateReset, fixingPeriod, nextResetRate, rateMultiplier
Standalone Optional Terms
- businessDayConvention
- calendar
- contractPerformance
- delinquencyPeriod
- delinquencyRate
- deliverySettlement
- endOfMonthConvention
- gracePeriod
- marketObjectCode
- marketValueObserved
- nonPerformingDate
- seniority
- settlementCurrency
Notes
contractTypeis automatically set to "SWPPV" when using the class.