LUSID representation of a Credit Default Swap (CDS). This instrument has multiple legs, to see how legs are used in LUSID see knowledge base article KA-02252. | Leg Index | Leg Identifier | Description | | - – – – – | - – – – – – – - | - – – – – – | | 1 | ProtectionLeg | Cash flows occurring in the case of default. | | 2 | PremiumLeg | The premium payments made by the protection buyer. |
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| string | Ticker [get, set] |
| | A ticker to uniquely specify then entity against which the cds is written. More...
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| DateTimeOffset | StartDate [get, set] |
| | The start date of the instrument. This is normally synonymous with the trade-date. More...
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| DateTimeOffset | MaturityDate [get, set] |
| | 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 that may well be observed or set prior to the maturity date, but refer to a termination date beyond it. More...
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| CdsFlowConventions | FlowConventions [get, set] |
| | Gets or Sets FlowConventions More...
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| decimal | CouponRate [get, set] |
| | The coupon rate paid on each payment date of the premium leg as a fraction of 100 percent, e.g. "0.05" meaning 500 basis points or 5%. For a standard corporate CDS (North American) this must be either 100bps or 500bps. More...
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| FlowConventionName | ConventionName [get, set] |
| | Gets or Sets ConventionName More...
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| decimal? | Notional [get, set] |
| | The notional protected by the Credit Default Swap More...
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| CdsProtectionDetailSpecification | ProtectionDetailSpecification [get, set] |
| | Gets or Sets ProtectionDetailSpecification More...
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| InstrumentTypeEnum | InstrumentType [get, set] |
| | 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, SimpleCashFlowLoan, TotalReturnSwap, InflationLeg, FundShareClass, FlexibleLoan More...
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| enum class | InstrumentTypeEnum {
QuotedSecurity = 1
, InterestRateSwap = 2
, FxForward = 3
, Future = 4
,
ExoticInstrument = 5
, FxOption = 6
, CreditDefaultSwap = 7
, InterestRateSwaption = 8
,
Bond = 9
, EquityOption = 10
, FixedLeg = 11
, FloatingLeg = 12
,
BespokeCashFlowsLeg = 13
, Unknown = 14
, TermDeposit = 15
, ContractForDifference = 16
,
EquitySwap = 17
, CashPerpetual = 18
, CapFloor = 19
, CashSettled = 20
,
CdsIndex = 21
, Basket = 22
, FundingLeg = 23
, FxSwap = 24
,
ForwardRateAgreement = 25
, SimpleInstrument = 26
, Repo = 27
, Equity = 28
,
ExchangeTradedOption = 29
, ReferenceInstrument = 30
, ComplexBond = 31
, InflationLinkedBond = 32
,
InflationSwap = 33
, SimpleCashFlowLoan = 34
, TotalReturnSwap = 35
, InflationLeg = 36
,
FundShareClass = 37
, FlexibleLoan = 38
} |
| | 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, SimpleCashFlowLoan, TotalReturnSwap, InflationLeg, FundShareClass, FlexibleLoan More...
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LUSID representation of a Credit Default Swap (CDS). This instrument has multiple legs, to see how legs are used in LUSID see knowledge base article KA-02252. | Leg Index | Leg Identifier | Description | | - – – – – | - – – – – – – - | - – – – – – | | 1 | ProtectionLeg | Cash flows occurring in the case of default. | | 2 | PremiumLeg | The premium payments made by the protection buyer. |
| decimal Lusid.Sdk.Model.CreditDefaultSwap.CouponRate |
|
getset |
The coupon rate paid on each payment date of the premium leg as a fraction of 100 percent, e.g. "0.05" meaning 500 basis points or 5%. For a standard corporate CDS (North American) this must be either 100bps or 500bps.
The coupon rate paid on each payment date of the premium leg as a fraction of 100 percent, e.g. "0.05" meaning 500 basis points or 5%. For a standard corporate CDS (North American) this must be either 100bps or 500bps.
| DateTimeOffset Lusid.Sdk.Model.CreditDefaultSwap.MaturityDate |
|
getset |
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 that may well be observed or set prior to the maturity date, but refer to a termination date beyond it.
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 that may well be observed or set prior to the maturity date, but refer to a termination date beyond it.
Public Member Functions inherited from Lusid.Sdk.Model.LusidInstrument