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Interest Rate Swaps Ontology
This ontology defines concepts specific to interest rate swap contracts, including but not limited to fixed and floating rate combinations, single and cross-currency contracts, etc.
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Copyright (c) 2016-2018 EDM Council, Inc.
Copyright (c) 2016-2018 Object Management Group, Inc.
fibo-der-rtd-irswp
IRSwaps.rdf
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cross-currency interest rate swap
an interest rate swap in which the two streams of interest payments are in different currencies
explicit interest amount calculation event
the explicit representation of the calculation event in a given period, in which an interest payment is calculated based on the rate (fixed or floating) and the notional amount (in the payment currency, and factored for Fx if necessary), on a given date
fixed float cross-currency interest rate swap
an interest rate swap in which fixed interest payments on the notional are exchanged for floating interest payments and the two streams of interest payments are in different currencies
fixed float cross currency interest rate swap
fixed-float cross-currency interest rate swap
fixed float interest rate swap
an interest rate swap in which fixed interest payments on the notional are exchanged for floating interest payments
fixed-float interest rate swap
vanilla interest rate swap
fixed float single currency interest rate swap
an interest rate swap in which fixed interest payments on the notional are exchanged for floating interest payments and where both payment streams are expressed in terms of the same currency
fixed-float single-currency interest rate swap
fixed interest rate leg
a swap stream that specifies fixed interest amounts and terms for the payment of that interest
This may be the funding leg of some swaps (i.e. one party agrees to pay fixed interest amounts in exchange for whatever is the other leg) or it may be one or both sides of an Interest Rate Swap, where the two parties exchange different interest streams. Note that the FpML term on which this Swapstream term was based, is the one for asset return swaps, where this is the payment leg. This is the leg which has interest amounts, interest calculations and calculation dates, and optional stub calculation terms. It should be possible to relate this to the specific interest payments of an underlier if there is one.
fixed interest rate swap stream
float float cross-currency interest rate swap
an interest rate swap that exchanges cashflows based on two different interest rates in different currencies
float-float cross-currency interest rate swap
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float float interest rate swap
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an interest rate swap that exchanges cashflows based on two different floating interest rates
http://www.investopedia.com/terms/b/basisrateswap.asp
This is a swap in which two parties swap variable interest rates based on different money markets, and this is usually done to limit interest-rate risk that a company faces as a result of having differing lending and borrowing rates.
basis rate swap
float-float interest rate swap
float float single currency interest rate swap
an interest rate swap that exchanges cashflows based on two different floating interest rates in the same currency
float-float single-currency interest rate swap
floating interest rate leg
a swapstream in which variable interest is paid on some notional amount, linked to some underlying interest reference rate
Instead of an absolute rate you have an underlier and an offset called a spread (same as margin in floating rate notes).
floating interest rate swap stream
interest rate stream event
an interest-rate specific event occurring with respect to one leg of a swap
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interest rate swap
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a swap in which the underlier for one or both legs is an interest rate
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interest rate swap leg
the components specifiying an interest rate stream, including both a parametric and cashflow representation for the stream of payments
In IR markets there is no real distinction between an IR leg and a return leg, rather there are 2 funding legs.
interest rate swap stream
notional step amount
the amount of money that is subtracted from the notional on each step date
Note that this is an actual concrete sum of money, which may be specified either as a monetary amount (e.g. dollars and cents) or as a percentage of either the original notional amount or the previous notional amount.
notional step change event
an event on which a step change in the notional amount of the swap stream occurs
This always occurs on a calculation date (that is, one of the calculation period end dates). Therefore the frequency / period length of the steps in the step schedule is a multiple of the calculation period or frequency. For example, if the notional is recalculated on every calculation date, applying a new interest rate to the new notional amount, then the two frequencies are the same. If notional is updated every second calculation period, then the step schedule specifies periods that are twice as long, and so on.
notional step percentage amount
the percentage amount by which the notional changes on each step date
The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, and may be positive or negative.
notional step period length
a recurrence interval indicating the frequency with which step changes occur, which is a multiple of the calculation period in the calculation schedule
notional step schedule
schedule of changes in the notional amount on which interest is paid, comprising the regular sequence of step events
For the Notional Step Schedule there are no stubs.
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single currency interest rate swap
an interest rate swap in which the two streams of interest payments are in the same currency
swap stream calculation relative date
a calculation date that is relative to the rate reset schedule
swapstream interest calculation
an expression that represents a calculation of interest
swap stream interest calculation schedule
a parametric schedule that represents the dates on which interest is calculated
swap stream interest payment
an event involving the payment of interest for a given swap leg
swap stream interest payment schedule
a parametric schedule that represents the dates on which interest is due to be paid
These may more commonly be expressed as an offset of the Calculation dates, however the creation of a schedule specifically for payment dates is allowed for.
swap stream interest rate reset
an event on which an interest rate for a given swap stream changes (resets)
swapstream interest rate reset schedule
a parametric schedule of reset dates
These may more commonly be expressed as an offset of the Calculation dates, however the creation of a schedule specifically for reset dates is allowed for.
swap stream interest rate setting event
an event on which an interest rate for a given swap stream is determined
swap stream interest setting relative date
a date on which an interest rate is revised is that is relative to a rate reset event
has first notional step date
indicates the initial date in a notional step schedule
has floating rate cap
indicates an optional ceiling or 'cap' on interest rates on floating rate debts
Rate caps can be viewed as insurance, ensuring that the maximum borrowing rate never exceeds the specified cap level.
has floating rate floor
indicates an optional lower bound on interest rates on floating rate debts
has floating rate spread
defines the spread rate which can optionally be added to or subtracted from the floating rate
has interest calculation schedule
links a set of terms to a corresponding schedule for calculating interest
has interest rate reset schedule
links a set of terms to a corresponding schedule for resetting the interest rate, which may be either a regular or ad hoc schedule
has last notional step date
indicates the final date in a notional step schedule
has notional step schedule
links a set of terms to a corresponding notional step schedule, which may be either a regular or ad hoc schedule
has rate multiplier
indicates a multiplier applied to the coupon before adding the floating rate spread