IPA Financial Contracts: Bond Contracts

This document describes the available properties to create a request in order to price a Bond contract.

The Bond category regroups the following instruments: Fixed Rate Bonds, Municipal Bonds, and Floating Rate Notes (FRN).

Please refer to the Financial Contracts overview for details on how to structure the pricing request. In what follows we will explain how to build the instruments definition section, how to define your own pricing parameters and what fields can be calculated for Bond contracts.

A list of deprecated fields is provided here.

Instrument Definition

The table below contains the properties that are available to define the object property instrumentDefinition for Bond instruments. For more details which of the properties that can be used for a bond defined with the 'instrumentCode' or/and for a user-defined bond, please refer here.

For 'Date-time' parameters, ‘time’ is ignored. An information may be requested in a ‘Date’ format ('YYYY-MM-DD').

Input Name Type Description Importance Default value
accruedCalculationMethod String (enumeration) The day count basis method used to calculate the accrued interest payments. The possible values are listed here. Optional If instrumentCode is defined, the value comes from the instrument reference data. In case of a user-defined instrument, interestCalculationMethod is used.
adjustInterestToPaymentDate String (enumeration)

An indication if the coupon dates are adjusted to the payment dates. The possible values are:

  • Adjusted,
  • Unadjusted.
 Optional If instrumentCode is defined, the value comes from the instrument reference data. In case of a user-defined instrument, the default value is 'Unadjusted'.
amortizationSchedule Array of objects The amortization schedule of the instrument. The information that it contains is presented here.  Optional No default value applies.
endDate Date-time The maturity or expiry date of the instrument. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Mandatory if no instrumentCode is defined and IsPerpetual is set to 'False'. Optional If instrumentCode is defined, the value comes from the instrument reference data.
firstAccrualDate Date-time The date from which the interest starts accruing. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Optional If instrumentCode is defined, the value comes from the instrument reference data. In case of a user-defined instrument, the default value is the issue date.
firstRegularPaymentDate Date-time The first regular interest payment date used for the odd first interest period. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Optional If instrumentCode is defined, the value comes from the instrument reference data. In case of a user-defined instrument, the default value is computed from stubRule and interestPaymentFrequency.
fixedRatePercent Double The interest rate of the instrument. The value is expressed in percentages. Optional If instrumentCode is defined, the value comes from the instrument reference data. Otherwise, the default value is '0'.
fixedRatePercentSchedule Dictionary The step structure: a list of pre-determined future interest rates indexed by their dates. Optional No default value applies.
indexCompoundingMethod String (enumeration)

The method how the interest rate is calculated from the reset floating rates when the reset frequency is higher than the interest payment frequency (e.g., daily index reset with quarterly interest payments). The possible values are:

  • Compounded (uses the compounded average rate from multiple fixings),
  • Average (uses the arithmetic average rate from multiple fixings),
  • Constant (uses the last published rate among multiple fixings),
  • AdjustedCompounded (uses Chinese 7-day repo fixing),
  • MexicanCompounded (uses Mexican Bremse fixing).
 Optional If instrumentCode is defined, the value comes from the instrument reference data. In case of a user-defined instrument, the default value is 'Constant'.
indexFixingLag Integer The number of working days between the fixing date of the index and the start of the interest accrual period ('InAdvance') or the end of the interest accrual period ('InArrears'). Optional If instrumentCode is defined, the value comes from the instrument reference data. In case of a user-defined instrument, the default value is '0'.
indexFixingRic String The RIC that carries the fixing value if the instrument has a floating interest rate. Mandatory for floating rate instruments if no instrumentCode is defined. Optional If instrumentCode is defined, the value comes from the instrument reference data.
indexResetFrequency String (enumeration) The reset frequency for the floating instrument. The possible values are listed here. Optional If instrumentCode is defined, the value comes from the instrument reference data. In case of a user-defined instrument, the default value is derived from the index tenor.
instrumentCode String The code used to define the instrument. The possible values for each asset type are listed here. Mandatory if no user-defined instrument data is provided. Optional No default value applies.
instrumentTag String A user-defined string to identify the instrument. It can be used to link output results to the instrument definition. Limited to 40 characters. Only alphabetic, numeric and '- _.#=@' characters are supported. Optional No default value applies.
interestCalculationMethod String (enumeration) The day count basis method used to calculate the interest payments. The possible values are listed here. Mandatory if no instrumentCode is defined. Optional If instrumentCode is defined, the value comes from the instrument reference data.
interestPaymentDelay Integer The number of working days between the end of the interest accrual period and the interest payment date. Optional If instrumentCode is defined, the value comes from the instrument reference data. In case of a user-defined instrument, the default value is '0'.
interestPaymentFrequency String (enumeration) The interest payment frequency. The possible values are listed here. Mandatory if no instrumentCode is defined. Optional If instrumentCode is defined, the value comes from the instrument reference data. 
interestType String (enumeration) An indicator whether the instrument pays a fixed or floating interest. The possible values are:
  • Fixed,
  • Float.
 Optional If instrumentCode is defined, the value comes from the instrument reference data. Otherwise, the default value is 'Fixed'.
isPerpetual Boolean

An indicator whether the instrument is perpetual or not.

  • True: perpetual,
  • False: not perpetual. 
 Optional If instrumentCode is defined, the value comes from the instrument reference data. In case of a user-defined instrument, the default value is 'False'.
issueDate Date-time The date when the issue was registered. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Mandatory if no instrumentCode is defined. Optional If instrumentCode is defined, the value comes from the instrument reference data.
lastRegularPaymentDate Date-time The last regular interest payment date used for the odd last interest period. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Optional If instrumentCode is defined, the value comes from the instrument reference data. In case of a user-defined instrument, the default value is computed from stubRule and interestPaymentFrequency.
notionalAmount Double The notional amount of the instrument. Optional Default value is 1,000,000. It can also be computed as [MarketValueInDealCcy / DirtyPricePercent x 100].
notionalCcy String The currency of the instrument's notional amount. The value is expressed in ISO 4217 alphabetical format (e.g., 'USD'). Mandatory if no instrumentCode is defined. Optional If instrumentCode is defined, the value comes from the instrument reference data.
paymentBusinessDayConvention String (enumeration) The method to adjust dates to working days. The possible values are here. Optional If instrumentCode is defined, the value comes from the instrument reference data. In case of a user-defined instrument, the default value is 'ModifiedFollowing'.
paymentBusinessDays String A list of comma-separated calendar codes to adjust dates (e.g., 'EMU' or 'USA'). The possible values are here. Optional By default, the calendar associated to NotionalCcy is used.
paymentRollConvention String (enumeration) The method to adjust payment dates when they fall at the end of the month (e.g., 28th of February, 30th, 31st). The possible values are here. Optional If instrumentCode is defined, the value comes from the instrument reference data. In case of a user-defined instrument, the default value is 'Same'.
spreadBp Double The interest spread in basis points that is added to the floating rate index value. Optional If instrumentCode is defined, the value comes from the instrument reference data. In case of a user-defined instrument, the default value is '0'.
stubRule String (enumeration)

The rule that defines whether regular payment roll dates are aligned to the maturity or issue date. The possible values are:

  • Issue: all payment dates are aligned to the issue date.
  • Maturity: all payment dates are aligned to the maturity date.
  • ShortFirstProRata: to create a short period between the start date and the first regular payment date and pay a smaller amount of interest for the short period. All payment dates are calculated backwards from the maturity date.
  • ShortFirstFull: to create a short period between the start date and the first regular payment date and pay a regular payment on the first regular payment date. All payment dates are calculated backwards from the maturity date.
  • LongFirstFull: to create a long period between the start date and the second regular payment date and pay a regular payment on the second regular payment date. All payment dates are calculated backwards from the maturity date.
  • ShortLastProRata: to create a short period between the last payment date and maturity and pay a smaller amount of interest for the short period. All payment dates are calculated forward from the start date.
 Optional If instrumentCode is defined, the value comes from the instrument reference data. In case of a user-defined instrument, the default value is 'Maturity'.
template String A reference to a style used to define the instrument. The possible values are listed here. Either instrumentCode, template, or full definition must be provided. Optional By default, template is filled from the instrument structure.

 

Pricing Parameters

This object property contains the properties that may be used to control the calculation. By default, override does not apply. For 'Date-time' parameters, ‘time’ is ignored. An information may be requested in a ‘Date’ format ('YYYY-MM-DD '). 

Please note that the following pricing parameters can't be overridden at a time: assetSwapSpreadBp, benchmarkAtIssueSpreadBp, benchmarkAtRedemptionSpreadBp, cashAmount, cleanPrice, dirtyPrice, discountMarginBp, discountPercent, edsfSpreadBp, efpSpreadBp, govCountrySpreadBp, governmentSpreadBp, issuerSpreadBp, netPrice, neutralYieldPercent, nextCouponRatePercent, optionAdjustedSpreadBp, price, quotedPrice, ratingSpreadBp, sectorRatingSpreadBp, simpleMarginBp, stripYieldPercent, swapSpreadBp, yieldPercent, zSpreadBp.

Input Name Type Description Importance Default Value
settlementConvention String

The settlement tenor of the instrument (e.g., '1WD'), used to compute SettlementDate. Only 'D' (days) and 'WD' (working days) are supported. If another period code is used, settlementConvention is set to '0WD'. 

Only two parameters out of settlementConvention, marketDataDate and valuationDate can be overridden at a time.

 Optional If instrumentCode is defined, the value comes from the instrument reference data. Otherwise, the default value is '0WD'.
reportCcy String The currency code set for the fields ending with 'xxxInReportCcy'. The value is expressed in ISO 4217 alphabetical format (e.g., 'USD'). Optional The default value is notional currency.
taxOnCouponPercent Double The tax rate on income. The value is expressed in percentages. Optional The default value is '0'.
taxOnCapitalGainPercent Double The tax rate on capital gain. The value is expressed in percentages. Optional The default value is '0'.
taxOnYieldPercent Double The tax rate applied to the yield of the bond for pricing. The value is expressed in percentages. Optional The default value is '0'.
taxOnPricePercent Double The reference price used for capital taxation. The tax on capital gain is levied on the excess of the par value over TaxOnPricePercent. The value is expressed in percentages. Optional The default value is '0'.
applyTaxToFullPricing Boolean The indicator weather to apply tax rates for computations of pricing analysis, risk measure and spread measure fields. Optiona Default value is 'False'
concessionFee Double The fee used to compute the net price of the bond. The value is expressed in the same units as the bond price (percentage or cash). Optional The default value is '0'.
roundingParameters Object The definition of rounding parameters to be applied on accrued, price or yield. Optional By default, rounding parameters are the ones default in the instrument structure.
valuationDate Date-time The date at which the instrument is valued. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01T00:00:00Z'). Optional By default, valuationDate is computed as [marketDataDate + settlementConvention].
tradeDate Date-time The date when the instrument is traded. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Optional By default, tradeDate is marketDataDate, use tradeDate to define a default valuationDate for future dates.
marketDataDate Date-time The date at which the market data is retrieved. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Optional The default value is today.
redemptionDateType String (enumeration)

The type defining the redemption date of the instrument. The possible values are listed here.

 Optional Default values are:
- 'RedemptionAtWorstDate' for callable bond,
- 'RedemptionAtBestDate' for puttable bond, and
- 'RedemptionAtMaturityDate' in other cases.
redemptionDate Date-time The date that defines the expiry date for cash flow computation. The notional of the instrument is also paid at this date. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Optional By default, redemptionDate is computed from redemptionDateType.
price Double The instrument's price quoted according to the market conventions defined by CashOrPercentConvention and CleanOrDirtyConvention. Optional No default value applies.
cleanPrice Double The instrument's price excluding accrued interest. The value is quoted according to the market convention defined by CashOrPercentConvention.  Optional No default value applies.
dirtyPrice Double The instrument's price, which includes accrued interest. The value is quoted according to the market convention defined by CashOrPercentConvention.  Optional No default value applies.
netPrice Double The instrument's price before deducting fees. The value is quoted according to the market convention defined by CashOrPercentConvention and CleanOrDirtyConvention.  Optional No default value applies.
discountMarginBp Double The margin that is earned in addition to the floating index rate value of the instrument. The value is expressed in basis points. Available only for floating rate instruments. Optional No default value applies.
simpleMarginBp Double The average cash return per year of the instrument compared with its index rate. The value is expressed in basis points. Available only for floating rate instruments. Optional No default value applies.
discountPercent Double A difference between the instrument's price paid for and its par value. The value is expressed in percentages. Optional No default value applies.
benchmarkYieldSelectionMode String (enumeration) The mode of benchmark yield selection for the instrument. The possible values are:
  • Nearest - uses the nearest point to find the reference yield,
  • Interpolate - interpolates the yield curve to compute the reference yield.
 Optional The default value is 'Interpolate'.
projectedIndexCalculationMethod String (enumeration)

The method used to define how the projected floating index rate value is computed for a floating rate instrument. The possible values are:

  • ConstantIndex - future index values are considered as constant and equal to the projected index value,
  • ForwardIndex - future index values are computed using a forward curve,
  • ConstantCouponPayment - coupon payments are computed based on fixed coupon market convention with the same index and accrued periods for every coupon period.
 Optional Default values are:
- 'ForwardIndex' for Preferreds and Brazilian Debenture bonds,
- 'ConstantIndex' in other cases.
isCouponPaymentAdjustedforLeapYear Boolean An indicator whether a fixed coupon market convention with 365.25 days in a year to is used to calculate yield and margin. It can be requested if projectedIndexCalculationMethod = "ConstantCouponPayment". The possible values are:
  • True: the year fraction assumes 365.25 days,
  • False: the market convention is used.
 Optional The default value is 'True'.
computeCashFlowFromIssueDate Boolean

The indicator defines the date, from which the cash flows will be computed. The possible values are:

  • True: from the issue date,
  • False: from the tradeDate.
 Optional The default value is 'False'. 
computeAllAnalyticsWithReportCcy Boolean An indicator used to express the instrument analytics in the reporting currency. The possible values are:
  • True: all instrument analytics is computed in the reporting currency,
  • False: all instrument analytics is computed in the notional currency.
 Optional The default value is 'False'. 
yieldType String (enumeration)

The yield type specified in the yield calculation convention and used for the instrument rate model. The possible values are listed here.

 Optional The default value is 'Native' (no specific yield type is defined).
yieldPercent Double The yield of the instrument expressed in percentages. Optional No default value applies.
neutralYieldPercent Double The neutral yield of the instrument, at which its price moving neither up nor down over time. The value is expressed in basis points. Available only for floating rate instruments. Optional No default value applies.
currentYieldPercent Double The current yield of the instrument. The value is expressed in percentages.  Optional No default value applies.
stripYieldPercent Double The strip yield measures the return on only the debt portion of the instrument (removing the impact of any embedded options, or conversion rights, or accrued interest). The value is expressed in percentages. Optional No default value applies.
inflationMode String (enumeration)

The indicator used to define whether instrument parameters should be adjusted from inflation or not. The possible values are:

  • Default,
  • Unadjusted,
  • Adjusted.

Available only for inflation-linked instruments.

 Optional By default, 'Default' is used. That means it depends on the instrument quotation convention.
adjustedCleanPrice Double The clean price of the instrument adjusted by InflationIndexRatio. It is computed with [inflationMode = 'Adjusted']. The value is quoted according to the market convention defined by CashOrPercentConvention. Available only for inflation-linked instruments. Optional No default value applies.
adjustedDirtyPrice Double The dirty price of the instrument adjusted by InflationIndexRatio. It is computed with [inflationMode = 'Adjusted']. The value is quoted according to the market convention defined by CashOrPercentConvention. Available only for inflation-linked instruments. Optional No default value applies.
adjustedYieldPercent Double The instrument yield computed with [inflationMode = 'Adjusted']. The value is expressed in percentages. Available only for inflation-linked instruments. Optional No default value applies.
cashAmount Double The cash amount of the instrument. Optional No default value applies.
marketValueInDealCcy Double The market value of the instrument. The value is expressed in the deal currency. Optional By default, the value is computed from the notional amount. (NotionalAmount, MarketValueInDealCcy and MarketValueInReportCcy cannot be defined at the same time).
marketValueInReportCcy Double The market value ot the instrument. The value is expressed in the reporting currency. Optional By default, the value is computed from the notional amount (FxSpot, NotionalAmount, MarketValueInDealCcy and MarketValueInReportCcy cannot be defined at the same time).
priceSide String (enumeration)

The price side of the instrument which comes from the instrument's quote or from the curve (derived from quotes) used to value the instrument. The possible values are:

  • Bid,
  • Ask,
  • Mid.
 Optional The default value is 'Mid'.
quotedPrice Double The instrument's price quoted according to the market convention defined by QuotationMode. Optional No default value applies.
nextCouponRatePercent Double The annual rate of the next coupon. The coupon may be paid in kind (PIK) or in cash. The value is expressed in percentages. Available only for floating rate instruments. Optional By default, the value is computed from the current index.
projectedIndexPercent Double The projected index rate value used for calculation of future cash flows of the floating rate instrument. Usually the projected index is the last known value of the index. The value is expressed in percentages. This parameter can be used If the parameter projectedIndexCalculationMethod is set to ConstantIndex. Optional By default, the projected index rate value is computed from the market data according to the instrument convention.
zSpreadBp Double The zero volatility spread (Z-spread) computed as the constant spread that makes the price of the instrument equal to the present value of its cash flows when added to the yield at each point on the zero curve where cash flow is received. The value is expressed in basis points. Optional No default value applies.
assetSwapSpreadBp Double The spread over or under the reference rate (e.g., 'LIBOR') for a bond whose cash flows have been converted from fixed to floating via an interest rate swap. The value is expressed in basis points. Available for fixed-rate and floating-rate notes.  Optional No default value applies.
swapSpreadTenor String The code indicating the interest rate curve tenor used for SwapSpreadBp computations. The possible value is 'OIS'. Available for fixed-rate and floating-rate notes. Optional If not provided, the discount curve basis is used as default value.
optionAdjustedSpreadBp Double The spread applied to the benchmark yield curve and used to compute the yield of the instrument to be priced, taking into account the embedded options. The value is expressed in basis points. Optional No default value applies.
swapSpreadBp Double The spread applied to the yield of the swap benchmark curve and used to compute the yield of the instrument to be priced. The value is expressed in basis points. Optional No default value applies.
swapBenchmarkCurveYieldPercent Double The yield percent of the swap benchmark curve, which can be used to compute SwapSpreadBp. Optional By default, the yield is computed or retrieved from the market data.
governmentSpreadBp Double The spread applied to the yield of the government benchmark curve and used to compute the yield of the instrument to be priced. The government benchmark curve is computed from the currency of the instrument. The mode of benchmark yield selection for the instrument redemption date is defined in pricing parameter benchmarkYieldSelectionMode. The value is expressed in basis points. Optional No default value applies.
governmentBenchmarkCurveYieldPercent Double The yield percent of the government benchmark curve used to compute GovernmentSpreadBp. The government benchmark curve is computed from the currency of the instrument. For example, curve for Italian bond is a European benchmark. The yield is computed at the instrument redemption date using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode). Optional By default, the yield is computed or retrieved from the market data.
govCountrySpreadBp Double The spread applied to the yield of the government country benchmark curve and used to compute the yield of the instrument to be priced. The government country benchmark curve is computed from the country of the instrument. It is available only for European countries and USA (USA govCountry benchmark is US Treasuries). The mode of benchmark yield selection for the instrument redemption date is defined in pricing parameter benchmarkYieldSelectionMode. The value is expressed in basis points. Optional No default value applies.
govCountryBenchmarkCurveYieldPercent Double The yield percent of the government country benchmark curve, used to compute GovCountrySpreadBp. The government country benchmark curve is computed from the country of the instrument. The yield is computed at the instrument redemption date using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode). It is available only for European countries and USA (USA govCountry benchmark is US Treasuries). Optional By default, the yield is computed or retrieved from the market data.
ratingSpreadBp Double The spread applied to the yield of the rating benchmark curve and used to compute the yield of the instrument to be priced. The mode of benchmark yield selection for the instrument redemption date is defined in pricing parameter benchmarkYieldSelectionMode. The value is expressed in basis points. Optional No default value applies.
ratingBenchmarkCurveYieldPercent Double The yield percent of the rating benchmark curve used to compute RatingSpreadBp. The yield is computed at the instrument redemption date using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode). Optional By default, the yield is computed or retrieved from the market data.
sectorRatingSpreadBp Double The spread applied to the yield of the sector rating benchmark curve and used to compute the yield of the instrument to be priced. The mode of benchmark yield selection for the instrument redemption date is defined in pricing parameter benchmarkYieldSelectionMode. The value is expressed in basis points. Optional No default value applies.
sectorRatingBenchmarkCurveYieldPercent Double The yield percent of the sector rating benchmark curve used to compute SectorRatingSpreadBp. The yield is computed at the instrument redemption date using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode).  Optional By default, the yield is computed or retrieved from the market data.
edsfSpreadBp Double The spread applied to the yield of the Euro-Dollar future benchmark curve and used to compute the yield of the instrument to be priced. This spread is computed for the USD bond whose maturity is under 2 years. The mode of benchmark yield selection for the instrument redemption date is defined in pricing parameter benchmarkYieldSelectionMode. The value is expressed in basis points. Optional No default value applies.
edsfBenchmarkCurveYieldPercent Double The yield percent of the Euro-Dollar future benchmark curve, used to compute EdsfSpreadBp. The yield is computed at the instrument redemption date using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode). Optional By default, the yield is computed or retrieved from the market data.
issuerSpreadBp Double The spread applied to the yield of the issuer benchmark curve and used to compute the yield of the instrument to be priced. The value is expressed in basis points. Optional No default value applies.
issuerBenchmarkCurveYieldPercent Double The yield percent of the issuer benchmark curve, used to compute IssuerSpreadBp.  Optional By default, the yield is computed or retrieved from the market data.
benchmarkAtRedemptionSpreadBp Double The spread applied to the yield of the benchmark at redemption and used to compute the yield of the instrument to be priced. The value is expressed in basis points. Optional No default value applies.
benchmarkAtRedemptionYieldPercent Double The yield percent of the benchmark at redemption date of the instrument to be priced, used to compute BenchmarkAtRedemptionSpreadBp.  Optional By default, the yield is computed or retrieved from the market data.
benchmarkAtRedemptionPrice Double The price of the benchmark at redemption date of the instrument to be priced, equivalent to benchmarkAtRedemptionYieldPercent.  Optional By default, the price is computed or retrieved from the market data.
benchmarkAtIssueRic String The RIC of the benchmark at issue date of the instrument to be priced. Optional No default value applies.
benchmarkAtIssueSpreadBp Double The spread applied to the yield of the benchmark at issue and used to compute the yield of the instrument to be priced. The value is expressed in basis points. Optional No default value applies.
benchmarkAtIssueYieldPercent Double The yield percent of the benchmark at issue, used to compute BenchmarkAtIssueSpreadBp. The yield is computed using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode).  Optional By default, the yield is computed or retrieved from the market data.
benchmarkAtIssuePrice Double The price of the benchmark at issue, equivalent to benchmarkAtIssueYieldPercent. Optional By default, the price is computed or retrieved from the market data.
efpBenchmarkRic String The RIC of the EFP benchmark, if the instrument to be priced is an Australian fixed rate bond. The RIC can only be 'YTTc1', 'YTCc1', 'YTTc2' or 'YTCc2'. Optional The default value is 'YTTc1'.
efpSpreadBp Double The spread applied to the yield of the Exchange of futures for physical (EFP) benchmark and used to compute the yield of the instrument to be priced in case of an Australian fixed rate bond. The value is expressed in basis points. Optional No default value applies.
efpBenchmarkYieldPercent Double The yield percent of the EFP benchmark in case of an Australian fixed rate bond. Optional By default, the yield is computed or retrieved from the market data.
efpBenchmarkPrice Double The price of the EFP benchmark in case of an Australian fixed rate bond. Optional By default, the price is computed or retrieved from the market data.
oisZcBenchmarkCurveYieldPercent Double The yield percent of the overnight indexed swap (OIS) zero curve used to compute OisZcSpreadBp. The OIS zero curve is computed from the pricing currency. The yield is computed at the instrument redemption date using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode). Optional By default, the yield is computed or retrieved from the market data.
oisZcSpreadBp Double The spread applied to the yield the overnight indexed swap (OIS) zero curve and used to compute the yield of the instrument to be priced. The OIS zero curve is computed from the pricing currency. The value is expressed in basis points. Optional No default value applies.

 

Rounding Parameters

Input Name Type Description Importance Default Value
accruedRounding String (enumeration)

The number of digits to apply for accrued rounding fields, expressed in percentages.

Rounding of fields, expressed in currencies, depends on notional amount.

The possible values are:

  • Zero,
  • One,
  • Two,
  • Three,
  • Four,
  • Five,
  • Six,
  • Seven,
  • Eight,
  • Default,
  • Unrounded.

 

 Optional The default value is derived from the instrument reference data.
accruedRoundingType String (enumeration) The type of rounding for accrued rounding. The possible values are:
  • Default,
  • Near,
  • Up,
  • Down,
  • Floor,
  • Ceil.
 Optional The default value is derived from the instrument reference data. Otherwise, the default value is 'Near'.
priceRounding String (enumeration)

The number of digits to apply for price rounding.

Rounding of market value fields depends on NotionalAmount.

The possible values are:

  • Zero,
  • One,
  • Two,
  • Three,
  • Four,
  • Five,
  • Six,
  • Seven,
  • Eight,
  • Default,
  • Unrounded.

Only the computed fields can be rounded. A field cannot be rounded if its value is overridden or retrieved from market data.

 

 Optional The default value is derived from the instrument reference data.
priceRoundingType String (enumeration) The type of rounding for price rounding. The possible values are:
  • Default,
  • Near,
  • Up,
  • Down,
  • Floor,
  • Ceil.
 Optional The default value is derived from the instrument reference data. Otherwise, the default value is 'Near'.
yieldRounding String (enumeration)

The number of digits to apply for yield and spread rounding.

When the spread is the difference between two yields, there are two digits less. When the spread is computed from a curve, then rounding defined by user is applied.

The possible values are:

  • Zero,
  • One,
  • Two,
  • Three,
  • Four,
  • Five,
  • Six,
  • Seven,
  • Eight,
  • Default,
  • Unrounded.

Only computed fields can be rounded. A field cannot be rounded if its value is overridden or retrieved from market data.

 

 Optional The default value is derived from the instrument reference data.
yieldRoundingType String (enumeration) The type of rounding for yield rounding. The possible values are:
  • Default,
  • Near,
  • Up,
  • Down,
  • Floor,
  • Ceil.
 Optional The default value is derived from the instrument reference data. Otherwise, the default value is 'Near'.

 

Output Fields Description

The table below lists the available fields you can include in the API response. 

The list of deprecated fields is provided here. For the rule of the calculation of fields expressed in the reporting currency, please refer here.

Field Name Type Description Category Returned by default
BondType String The type of the bond. The possible values are:
  • FixedRateBond,
  • IndexLinkedBond,
  • FloatingRateNote,
  • PreferredShare,
  • ConvertibleBond.
 Description Yes
InstrumentTag String A user-defined string to identify the instrument. It can be used to link output results to the instrument definition. Limited to 40 characters. Only alphabetic, numeric and '- _.#=@' characters are supported. Description Yes
InstrumentCode String The code used to define the instrument. The possible values for each asset type are listed here.  Description Yes
InstrumentDescription String The label that describes the instrument. Description Yes
RIC String The Reuters Instrument Code (RIC) of the instrument. Description Yes
Isin String The International Securities Identification Number (ISIN) of the instrument. Description Yes
AssetIdCode String The Refinitiv AssetID code of the instrument. Description Yes
AssetSubType String The code representing the subclassification of the instrument. Description No
AssetStatus String A status of the asset (e.g., Issued, Called, Not Active, Preliminary, etc.). Description Yes
DebtType String The code representing the class of debt, including the type of collateral backing the debt. Description No
Ticker String The Equity ticker for the issuer of the instrument. Description Yes
Cusip String The Committee on Uniform Security Identification Procedures (CUSIP) code of the instrument. Description Yes
Sedol String The Stock Exchange Daily Official List (SEDOL) code of the instrument. Description Yes
WertCode String The Wertpapierkennnummer (WERT) code of the instrument. Description Yes
IssuerCountry String The country of the instrument's issuer. The value is expressed as ISO 3166 2-character code (e.g., 'CA' for Canada). Description Yes
IssuerOrgID String A unique Lseg system-assigned identifier for the issuer. Description No
CountryOfIssue String A country where the issue is registered. Description No
CountryOfBorrower String A country where the borrowing company is registered. Description No
CountryOfIncorporation String A country, in which the party received its charter allowing it to operate as a corporation. If a country of incorporation is not disclosed or if a company is not a corporation, then this is the country where the company was formed. Description No
NotionalAmount Float

The notional amount of the instrument. 

For more details on the field calculation, please refer here.

 Description Yes
NotionalCcy String The currency of the instrument's notional amount. The value is expressed in ISO 4217 alphabetical format (e.g., 'USD'). Description Yes
ReportCcy String The currency code set for the fields ending with 'xxxInReportCcy'. The value is expressed in ISO 4217 alphabetical format (e.g., 'USD'). Description Yes
ParValue Float The instrument's face value which determines its maturity value as well as the value of coupon payments. Description Yes
DenominationMinimum Float The minimum face value of an instrument that can be purchased. The value is expressed in units of the issuing currency. Description Yes
DenominationIncrement Float The minimum multiples in which a instrument can be held in the secondary market above the minimum denomination. The value is expressed in units of the issuing currency. Description Yes
PriceFactor Float The divisor of the instrument price, used to calculate its percentage value. The par value of the instrument is equal to PriceFactor. Description Yes
NumberOfUnits Float The number of the instrument units. Description Yes
IssuePrice Float The instrument's price at the issue date quoted according to the market convention defined by CashOrPercentConvention. Description Yes
IssueDate Date The date when the issue was registered. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). Description Yes
EndDate Date-time The maturity or expiry date of the instrument. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Description Yes
TradeDate Date-time The date when the instrument is traded. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z').  Description Yes
SettlementDate Date The date on which payments are made to settle a trade. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). Description No
InterestType String

An indicator whether the instrument pays a fixed or floating interest. The possible values are:

  • Fixed,
  • Float.
 Description No
CouponRatePercent Float

The interest rate of the instrument. The value is expressed in percentages.

For more details on the field calculation, please refer here.

 Description Yes
CouponFormula String The formula used to compute the coupon rate. It comes from the Refinitiv reference data. Available only for floating rate instruments. Description Yes
CouponType String The type of the instrument's coupon payment. This is identified by a code. A description is available in "CouponTypeDescription" field. (e.g., 'FXPV' stands for Plain Vanilla Fixed Coupon) Description Yes
CouponTypeDescription String A description of the coupon type. Description Yes
FirstAccrualDate Date The date from which the interest starts accruing. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Description No
FirstCouponDate Date The date of the instrument's first coupon payment. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). Description Yes
FirstRegularPaymentDate Date-time The first regular interest payment date used for the odd first interest period. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Description No
LastRegularPaymentDate Date-time The last regular interest payment date used for the odd last interest period. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Description No
AnnouncementDate Date A date when the terms of issuance become available prior to the initial settlement date. For securities with initial placement via underwriting, this is the date on which terms of issuance are agreed upon between the Issuer and Underwriter. For securities with initial placement via an auction, this is the date on which the auction is announced. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). Description No
AuctionDate Date The date the asset was issued via an auction process. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). Description Yes
OriginalAmountIssued Float The total principal amount of the securities offered as per the front cover of the prospectus. Description Yes
LatestReopeningPricePercent Float An issue price of the security at its latest re-opening, expressed as a percentage of par. Description No
IsPIK Boolean

An indicator whether the instrument is a Payment-In-Kind (PIK). The possible values are:

  • True: PIK,
  • False: not PIK. 
 Description Yes
IsPreferred Boolean

An indicator whether the instrument is a preferred stock. The possible values are:

  • True: a preferred stock,
  • False: not a preferred stock.
 Description Yes
IsUsMuni Boolean

An indicator whether the instrument is a US Municipal bond. The possible values are:

  • True: a US Municipal bond,
  • False: not a US Municipal bond.
 Description Yes
IsCallable Boolean

An indicator whether the instrument is callable. The possible values are:

  • True: callable,
  • False: not callable.
 Description Yes
IsPuttable Boolean

An indicator whether the instrument is puttable. The possible values are:

  • True: puttable,
  • False: not puttable.
 Description Yes
IsPerpetual Boolean

An indicator whether the instrument is perpetual. The possible values are:

  • True: perpetual,
  • False: not perpetual.
 Description Yes
IsSinkable Boolean

An indicator whether the instrument is sinkable. The possible values are:

  • True: sinkable,
  • False: not sinkable.
 Description Yes
SettlementConvention String The settlement tenor of the instrument (e.g., '1WD'), used to calculate SettlementDate. Description Yes
IndexFixingRic String The RIC that carries the fixing value if the instrument has a floating interest. Description Yes
TaxStatusDescription String The status of the instrument for tax purposes. It is usually used to define whether TaxEquivalentYieldPercent or TaxExemptEquivalentYieldPercent should be used for a reference yield. The possible values are:
  • Subject to US Alternative Minimum Tax (AMT),
  • US Federal Tax Exempt,
  • US Federal Taxable.
 Description Yes
Series String The unique code to identify the deal from the issuer. Description Yes
IndustrySubSector String The code of the issuer's subsector. Description Yes
AccruedCalculationMethod String The day count basis method used to calculate the accrued interest payments. The possible values are listed here. Description Yes
InterestCalculationMethod String The day count basis method used to calculate the interest payments. The possible values are listed here. Description No
InterestPaymentFrequency String The interest payment frequency. The possible values are listed here. Description Yes
IndexResetFrequency String The reset frequency for the floating instrument. The possible values are listed here. Description Yes
ProjectedIndexCalculationMethod String The method used to define how the projected floating index rate value is computed for a floating rate instrument. The possible values are:
  • ConstantIndex - future index values are considered as constant and equal to the projected index value,
  • ForwardIndex - future index values are computed using a forward curve.
  • ConstantCouponPayment - coupon payments are computed based on fixed coupon market convention with the same index and accrued periods for every coupon period (Applies to Bond only).
 Description Yes
PercentOfUst Float

A proportion of the instrument's yield to the US Treasury benchmark yields. Available only for municipal bonds. 

For more details on the field calculation, please refer here.

 Description Yes
CashOrPercentConvention String

An indicator whether the instrument's price is quoted in cash or percent. The possible values are:

  • Cash,
  • Percent.
 Description No
CleanOrDirtyConvention String

An indicator whether the instrument's price is quoted in clean or dirty convention. The possible values are:

  • Clean: excluding accrued interest,
  • Dirty: including accrued interest.
 Description No
PriceQuotationDate Date-time The timestamp of the instrument's quotation data. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g. '2021-01-01T00:00:00Z'). Description Yes
QuotationMode String The quotation defining the price type. The possible values are:
  • CashCleanPrice,
  • CashGrossPrice,
  • PercentCleanPrice,
  • PercentGrossPrice,
  • Yield,
  • MoneyMarketYield,
  • Discount,
  • Spread,
  • SimpleMargin,
  • DiscountMargin.
 Description Yes
PriceSide String The price side of the instrument which comes from the instrument's quote or from the curve (derived from quotes) used to value the instrument. The possible values are:
  • Bid,
  • Ask,
  • Mid.
 Description Yes
PriceSource String The contributor of the price quote. Description Yes
AvailableZCCurves Array of strings The list of available zero-coupon curves that can be used as a forward curve or a discount curve. Description Yes
OisZcBenchmarkCurveName String The name of the OIS benchmark curve used to compute OisZcSpreadBp. Description No
InflationMode String The indicator used to define whether instrument parameters should be adjusted from inflation or not. The possible values are:
  • Default,
  • Unadjusted,
  • Adjusted.

Available only for inflation-linked instruments.

 Description Yes
InflationIndexName String The name of the inflation index (consumer price index). It depends on the instrument's country of issue. Available only for inflation-linked instruments. Description Yes
InflationIndexBaseReference Float The value of the consumer price index (CPI) at the time of issuing the inflation-linked instrument. Available only for inflation-linked instruments. Description Yes
InflationIndexLookbackTenor String The lag applied to reference consumer price index (CPI) to be retrieved. The value is expressed as a tenor, usually a month tenor (e.g., '1M'). Available only for inflation-linked instruments. Description Yes
ErrorMessage String The error message in case of a blocking error in calculation. Description Yes
ErrorCode String The code of ErrorMessage. Description Yes
ProcessingInformation String The error message for the calculation in case of a non-blocking error. Description Yes
MarketDataDate Date-time The date at which the market data is retrieved. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). The default value is today. Pricing analysis Yes
ValuationDate Date-time The date at which the instrument is valued. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Pricing analysis Yes
Price Float The instrument's price quoted according to the market conventions.  Pricing analysis Yes
PricePercent Float The instrument's price quoted according to the market convention defined by CleanOrDirtyConvention.  Pricing analysis Yes
NetPrice Float

The instrument's price before deducting fees. The value is quoted according to the market convention defined by CashOrPercentConvention and CleanOrDirtyConvention. 

For more details on the field calculation, please refer here.

 Pricing analysis Yes
NetPricePercent Float The instrument's price before deducting fees. The value is expressed in percentages. Pricing analysis Yes
CleanPrice Float The instrument's price excluding accrued interest. The value is quoted according to the market convention defined by CashOrPercentConvention.  Pricing analysis Yes
CleanPricePercent Float

The price excluding accrued interest. The value is expressed in percentages.

For more details on the field calculation, please refer here.

 Pricing analysis Yes
DirtyPrice Float The price of the instrument, which includes accrued interest. The value is quoted according to the market convention defined by CashOrPercentConvention. Pricing analysis Yes
DirtyPricePercent Float

The price including accrued interest. The value is expressed in percentages.

For more details on the field calculation, please refer here.

 Pricing analysis Yes
NeutralPrice Float The price of the instrument, at which it moves neither up nor down over time. The value is quoted according to the market convention defined by CashOrPercentConvention. Available only for floating rate instruments. Pricing analysis Yes
YieldType String The yield type specified in the yield calculation convention and used for the instrument rate model. The possible values are listed here. Pricing analysis Yes
IssueYieldPercent Float The yield computed from the issue price at the default redemption type. The value is expressed in percentages.
Default redemption types are: 'RedemptionAtWorstDate' for callable bond, 'RedemptionAtBestDate' for puttable bond or 'RedemptionAtMaturityDate' in other cases.		 Pricing analysis Yes
YieldPercent Float The yield, if it is not defined in the pricing parameter, that equates the present value of the instrument to its dirty price, assuming that the yield is constant over the life of the instrument. The value is expressed in percentages. Pricing analysis Yes
NetYieldPercent Float The yield of the bond at the redemption date computed from the net price. The value is expressed in percentages. Pricing analysis Yes
RedemptionDate Date The date when the instrument can be redeemed. The notional of the instrument is also paid at this date. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). RedemptionDate is either defined in input pricing parameters or computed from RedemptionDateType. Pricing analysis Yes
RedemptionPrice Float The price at which the instrument is redeemed. Pricing analysis Yes
RedemptionDateType String The type defining the redemption date of the instrument. The possible values are listed here.  Pricing analysis Yes
RedemptionYieldType String The type of the redemption yield at which the bond has been priced. The possible values are listed here. Pricing analysis Yes
YieldToMaturityPercent Float The yield that makes the present value of the bond equal to its dirty price, assuming that the yield is constant over the life of the bond and that the bond will be redeemed at maturity or perpetuity. The value is expressed in percentages. Pricing analysis Yes
YieldToWorstPercent Float The lowest yield among all yields calculated at each possible redemption dates, among which the bond issuer may choose to call the bond from its holder. This is the most favorable yield of a callable bond. The value is expressed in percentages. Available for callable bonds. Pricing analysis Yes
YieldToWorstDate Date The date at which YieldToWorst has been computed. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). Available for callable bonds. Pricing analysis Yes
YieldToBestPercent Float The highest yield among all yields calculated at each possible redemption dates, among which the bond holder may choose to put the bond to the issuer. This is the most favorable yield of a puttable bond. The value is expressed in percentages. Available for puttable bonds. Pricing analysis Yes
YieldToBestDate Date The date at which YieldToBest has been computed. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). Available for puttable bonds. Pricing analysis Yes
YieldToNextCallPercent Float The yield that makes the present value of the bond equal to its dirty price, assuming that the yield is constant over the life of the bond and that the bond will be redeemed at the next call date. The value is expressed in percentages. Available for callable bonds. Pricing analysis Yes
YieldToNextCallDate Date The date of the next call, when the bond issuer may choose to buy the bond from its holder. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). Available for callable bonds. Pricing analysis Yes
YieldToNextPutPercent Float The yield that makes the present value of the bond equal to its dirty price, assuming that the yield is constant over the life of the bond and that the bond will be redeemed at next put date. The value is expressed in percentages. Available for puttable bonds. Pricing analysis Yes
YieldToNextPutDate Date The date of the next put, when the bond holder may choose to sell the bond to its issuer. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). Available for puttable bonds. Pricing analysis Yes
NeutralYieldPercent Float The neutral yield of the instrument, at which its price moving neither up nor down over time. The value is expressed in basis points. Available only for floating rate instruments. Pricing analysis Yes
StripYieldPercent Float The strip yield measures the return on only the debt portion of the instrument (removing the impact of any embedded options, or conversion rights, or accrued interest). The value is expressed in percentages. Pricing analysis Yes
DiscountPercent Float A difference between the instrument's price paid for and its par value. The value is expressed in percentages. Pricing analysis Yes
CurrentYieldPercent Float

The current yield of the instrument. The value is expressed in percentages. 

For more details on the field calculation, please refer here.

 Pricing analysis Yes
AnnualDividend Float

The annual dividend. Available only for preferred stocks (IsPreferred = True).

For more details on the field calculation, please refer here.

 Pricing analysis Yes
RedemptionDatesArray Array of dates The list of all possible dates, when the bond may be redeemed. This field is mainly used for bonds with options. Therefore, the bond may be redeemed at each call date.  Pricing analysis Yes
RedemptionYieldsArray Array of floats The list of yields computed for each redemption date. The Nth yield is the one computed for the Nth redemption date from RedemptionDatesArray.  Pricing analysis Yes
RedemptionNeutralYieldsArray Array of floats The list of neutral yields computed for each redemption date. The Nth yield is the one computed for the Nth redemption date from RedemptionDatesArray. Available only for floating rate instruments.  Pricing analysis Yes
RedemptionPricesArray Array of floats The list of prices computed for each redemption date. The Nth price is the one computed for the Nth redemption date from RedemptionDatesArray.  Pricing analysis Yes
RedemptionDateTypesArray Array of strings The list of redemption date types computed for each redemption date. The Nth redemption type is the one computed for the Nth redemption date from RedemptionDatesArray. The possible values are listed here.  Pricing analysis Yes
RedemptionYieldTypesArray Array of strings The list of redemption yield types computed for each redemption date. The Nth redemption type is the one computed for the Nth redemption date from RedemptionDatesArray. The possible values are listed here.  Pricing analysis Yes
DeMinimisPrice Float The threshold price for tax purposes, at which a discount bond should be taxed as a capital gain rather than as an ordinary income.  Pricing analysis Yes
DeMinimisYieldPercent Float The threshold yield for tax purposes. It is computed from DeMinimisPrice. Pricing analysis Yes
AdjustedPrice Float The clean price adjusted for the difference between the refinancing rate and the coupon rate during the partial first period. The value is quoted according to the market convention defined by CashOrPercentConvention and CleanOrDirtyConvention. Available only for floating rate instruments.  Pricing analysis Yes
AdjustedCleanPrice Float

The clean price of the instrument adjusted by InflationIndexRatio. It is computed with [inflationMode = Adjusted]. The value is quoted according to the market convention defined by CashOrPercentConvention. Available only for inflation-linked instruments.

For more details on the field calculation, please refer here.

 Pricing analysis Yes
AdjustedDirtyPrice Float

The dirty price of the instrument adjusted by InflationIndexRatio. It is computed with [inflationMode = Adjusted]. The value is quoted according to the market convention defined by CashOrPercentConvention. Available only for inflation-linked instruments.

For more details on the field calculation, please refer here.

 Pricing analysis Yes
AdjustedYieldPercent Float The instrument yield computed with [inflationMode = Adjusted]. The value is expressed in percentages. Available only for inflation-linked instruments. Pricing analysis Yes
AdjustedSimpleMarginBp Float The average annual return of the floating rate instrument compared to its index rate. The measure is based on the adjusted clean price. The simple margin method does not take into account the current yield effect on the instrument's price, that is the value to the investor of buying an instrument below par or the cost of buying an instrument above par.
The value is expressed in basis points. Available only for floating rate instruments. 		 Pricing analysis Yes
AdjustedTotalMarginBp Float The adjusted margin, which includes the additional or lost return realized if the price of the floating rate instrument is below or above par. The value is expressed in basis points. Available only for floating rate instruments.  Pricing analysis Yes
DiscountMarginBp Float The margin that is earned in addition to the floating index rate value of the instrument. The value is expressed in basis points. Available only for floating rate instruments. Pricing analysis Yes
SimpleMarginBp Float The average cash return per year of the instrument compared with its index rate. The value is expressed in basis points. Available only for floating rate instruments. Pricing analysis Yes
BondOptionFreePrice Float The bond's price minus the price of the embedded option. Available for callable/puttable bonds.  Pricing analysis Yes
BondOptionPrice Float The price of the embedded option evaluated using the Hull-White model. Available for callable/puttable bonds.  Pricing analysis Yes
QuotedPrice Float The instrument's price quoted according to the market convention defined by QuotationMode.  Pricing analysis Yes
QuotedBidPrice Float The quoted bid price on the market. Pricing analysis Yes
QuotedAskPrice Float The quoted ask price on the market. Pricing analysis Yes
ProjectedIndexPercent Float The projected index rate value used for calculation of future cash flows of the instrument. By default, it is computed from market data according to the instrument convention. Usually the projected index is the last known value of the index. The value is expressed in percentages. Available only for floating rate instruments. Pricing analysis Yes
FxSpot Float The spot value of the cross-currency pair, which is the instrument currency against the reporting currency. It is used to convert amount to the reporting currency. Pricing analysis Yes
YieldToMaturitySpreadBp Float The difference between the yield to maturity of the floating rate instrument and the effective internal rate of return (IRR) of the underlying index. The IRR of the index is calculated as a series of short-term investments that pay interest rates equal to the projected index rates, using the same frequency and day count convention as floating rate instruments. Available only for floating rate instruments. Pricing analysis Yes
InflationIndexRatio Float

The value of the consumer price index (CPI) at the settlement date used to calculate the inflation-adjusted instrument price. Available only for inflation-linked instruments.

For more details on the field calculation, please refer here.

 Pricing analysis Yes
InflationCurrentIndex Float The value of the consumer price index (CPI) at the settlement date. Available only for inflation-linked instruments. Pricing analysis Yes
BreakEvenInflationRatePercent Float

The market-based measure of expected inflation rate, expressed in percentages. It is computed from the yield of the inflation-linked instrument and the yield of a government benchmark instrument with the same maturity. This is an annual inflation rate.
Two convention can be used to compute this breakeven inflation:

  • Japanese convention,
  • Common convention.

Available only for inflation-linked instruments.

For more details on the field calculation, please refer here.

 Pricing analysis No
InterpolatedBreakEvenInflationRatePercent Float The breakeven inflation computed by using a benchmark yield that has been computed by an interpolation of the Government benchmark curve. Available only for inflation-linked instruments. Pricing analysis No
TaxOnCouponPercent Float The tax rate on income. The value is expressed in percentages. Pricing analysis Yes
TaxOnCapitalGainPercent Float The tax rate on capital gain. The value is expressed in percentages. Pricing analysis Yes
TaxOnYieldPercent Float The tax rate applied to the yield of the bond for pricing. The value is expressed in percentages. Pricing analysis Yes
TaxOnPricePercent Float The reference price used for capital taxation. The tax on capital gain is levied on the excess of the par value over TaxOnPricePercent. The value is expressed in percentages. Pricing analysis Yes
TaxEquivalentYieldPercent Float

The yield on a taxable instrument that an investor would earn to match the return on a comparable tax-exempt municipal bond. Available for municipal bonds. 

For more details on the field calculation, please refer here.

 Pricing analysis Yes
TaxExemptEquivalentYieldPercent Float

The yield on a tax-exempt municipal bond that an investor would earn to match the return on a comparable taxable instrument. Available for municipal bonds. 

For more details on the field calculation, please refer here.

 Pricing analysis Yes
ConcessionFee Float The fee used to compute the net price of the bond. The value is expressed in the same units as the bond price (percentage or cash). Pricing analysis Yes
CurrentIndexPercent Float The value of the index used to compute the current coupon. Available only for floating rate instruments. Pricing analysis Yes
SpreadOverIndexPercent Float The spread applied to the current index used to compute a coupon, also called a quoted margin. The value is expressed in basis percentages. Available only for floating rate instruments.  Pricing analysis Yes
CashAmount Float

The cash amount of the instrument.

For more details on the field calculation, please refer here.

 Valuation Yes
LftFactor Float

The cumulative Selic factor computed for Brazilian LFT (Letras Financeiras do Tesouro). It is based on the daily Selic interest rate set by Brazilian Central Bank accumulated since the reference date (2000-07-01).

For more details on the field calculation, please refer here.

 Valuation Yes
LftVna Float

The nominal value (or VNA - Valor Nominal Acumulado) adjusted by the LftFactor. It is available for Brazilian LFT (Letras Financeiras do Tesouro) only.

For more details on the field calculation, please refer here.

 Valuation Yes
AccruedDays Integer The number of days since the last interest payment date or since the dated date of the instrument. Valuation Yes
AccruedPercent Float

The accrued interest amount, which is accumulated but not paid out. The value is expressed in percentages. 

For more details on the field calculation, please refer here.

 Valuation Yes
Accrued Float

The accrued interest amount, which is accumulated but not paid out. The value is expressed in bond quotation units (percentage or cash). 

For more details on the field calculation, please refer here.

 Valuation Yes
TradeDateAccrued Float

The accrued interest amount, which is accumulated on the trade date but not paid out. The value is expressed in bond quotation units (percentage or cash). 

The field calculation is the same as for Accrued.

 Valuation No
TradeDateAccruedPercent Float

The accrued interest amount, which is accumulated on the trade date but not paid out. The value is expressed in percentages. 

The field calculation is the same as for AccruedPercent.

 Valuation No
AdjustedAccrued Float

The instrument Accrued computed with [inflationMode = Adjusted]. The value is expressed in bond quotation units (percentage or cash). Available only for inflation-linked instruments.

For more details on the field calculation, please refer here.

 Valuation Yes
AccruedAmountInDealCcy Float

The accrued interest amount. It is computed from the accrued percent and the notional amount. The value is expressed in the deal currency.

For more details on the field calculation, please refer here.

 Valuation Yes
AccruedAmountInReportCcy Float

The accrued interest amount. It is computed from the accrued percent and the notional amount. The value is expressed in the reporting currency.

For more details on the field calculation, please refer here.

 Valuation Yes
CapitalizedAccruedAmountInDealCcy Float The amount of capitalized accrued interest. The value is expressed in the deal currency. Valuation No
CapitalizedAccruedAmountInReportCcy Float The amount of capitalized accrued interest. The value is expressed in the reporting currency. Valuation No
TotalAccruedInDealCcy Float

The total accrued interest amount. The value is expressed in the deal currency.

For more details on the field calculation, please refer here.

 Valuation No
TotalAccruedInReportCcy Float

The total accrued amount. The value is expressed in the reporting currency.

For more details on the field calculation, please refer here.

 Valuation No
MarketValueInDealCcy Float

The market value of the instrument. The value is expressed in the deal currency.

For more details on the field calculation, please refer here.

 Valuation Yes
MarketValueInReportCcy Float

The market value of the instrument. The value is expressed in the reporting currency.

For more details on the field calculation, please refer here.

 Valuation Yes
CleanMarketValueInDealCcy Float

The market value of the instrument less any accrued interest. The value is expressed in the deal currency.

For more details on the field calculation, please refer here.

 Valuation Yes
CleanMarketValueInReportCcy Float

The market value of the instrument less any accrued interest. The value is expressed in the reporting currency.

For more details on the field calculation, please refer here.

 Valuation Yes
PositionInDealCcy Float

The initial position of the instrument expressed in the deal currency.

For more details on the field calculation, please refer here.

 Valuation Yes
PositionInReportCcy Float The initial position of the instrument expressed in the reporting currency. Valuation Yes
NormalizationFactor Float

The factor at valuation date for amortizable bonds. It can be defined from the remaining notional amount of a bond. 

For more details on the field calculation, please refer here.

 Cashflows Yes
PreviousCouponDate Date The date of the latest coupon payment preceding the settlement date. If the settlement date is before the first regular coupon, then this field shows the instrument issue date. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). Cashflows Yes
NextCouponDate Date The date of the first coupon payment following the settlement date. If the settlement date is after the last regular coupon, then this field shows the instrument maturity date. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). Cashflows Yes
PreviousExDividendDate Date The previous date from which the stock (bond) starts trading without the value of its dividend (coupon) payment. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01').  Cashflows Yes
NextExDividendDate Date The next date from which the stock (bond) starts trading without the value of its dividend (coupon) payment. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01').  Cashflows Yes
PreviousRecordDate Date The previous date on which the shareholder must own the share to be eligible to receive a dividend. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). Available only for preferred stocks (IsPreferred = True).  Cashflows Yes
NextRecordDate Date The next date on which the shareholder must own the share to be eligible to receive a dividend. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). Available only for preferred stocks (IsPreferred = True).  Cashflows Yes
NextCouponValue Float The next coupon value expressed in bond quotation units (percentage or cash). Cashflows Yes
NextCouponInCashValue Float The value of the next coupon paid in cash. The value is expressed in bond quotation units (cash). It should be equal to NextCouponValue except for coupon paid in kind. Cashflows Yes
NextCouponInKindValue Float The value of the next coupon paid in kind (PIK). The value is computed for PIK bonds. The value is expressed in bond quotation units (percentage or cash). Cashflows Yes
NextCouponRatePercent Float The annual rate of the next coupon. The coupon may be paid in kind (PIK) or in cash. The value is expressed in percentages. Cashflows Yes
NextCouponInCashRatePercent Float The annual rate of the next coupon paid in cash. The value is expressed in percentages. Cashflows Yes
NextCouponInKindRatePercent Float The annual rate of the next coupon paid in kind (PIK). The value is computed for PIK bonds. The value is expressed in percentages. Cashflows Yes
NextSinkDate Date The next date, when a portion of the sinkable bond would be paid off. The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01'). Available only for sinkable bonds. Cashflows Yes
CashFlows Array of objects

The information on the contract's cash flows during its lifetime. It consists of the following properties:

  • instrumentType: the instrument type for which cash flows are computed,
  • payments: the array of properties which define all instrument’s cash flows (paid and received) during its lifetime. For more details please refer here. 

For more details on the field calculation, please refer here.

 Cashflows No
CashFlowDatesArray Array of dates The dates of the future cash flows payments. Cashflows Yes
CashFlowAnnualRatesPercentArray Array of floats The annual interest rates for each cash flow date. Cashflows Yes
CashFlowAmendedAnnualRatesPercentArray Array of floats The annual interest rates for each cash flow date and amended by the paying agent. It can differ from CashFlowAnnualRatesPercentArray, because the paying agent may modify the value of the interest or the interest can be partially paid. Cashflows No
CashFlowInterestPercentsArray Array of floats The interest payments for each cash flow date. The values are expressed in percentages of the instrument notional value. Cashflows Yes
CashFlowCapitalPercentsArray Array of floats The principal payments for each cash flow date. The values are expressed in the percentages of the instrument notional value. Cashflows Yes
CashFlowTotalPercentsArray Array of floats The total (interest + principal) payments for each cash flow date. The values are expressed in the percentages of the instrument notional value. Cashflows Yes
CashFlowNormalizationFactorsArray Array of floats The normalization factors for an amortizable instrument. The normalization factor is equal to 1 at the issue date. Cashflows Yes
BenchmarkYieldSelectionMode String The mode of benchmark yield selection for the instrument. The possible values are:
  • Nearest - uses the nearest point to find the reference yield,
  • Interpolate - interpolates the yield curve to compute the reference yield.

Default value is 'Interpolate'.

 Spread measures Yes
ZSpreadBp Float The zero volatility spread (Z-spread) computed as the constant spread that makes the price of the instrument equal to the present value of its cash flows when added to the yield at each point on the zero curve where cash flow is received. The value is expressed in basis points. Spread measures Yes
OptionAdjustedSpreadBp Float The spread applied to the benchmark yield curve and used to compute the yield of the instrument, taking into account the embedded options. The value is expressed in basis points. Spread measures Yes
ZeroVolatilityOptionAdjustedSpreadBp Float The option-adjusted spread computed with a flat volatility equal to zero. The value is expressed in basis points. Spread measures Yes
AssetSwapSpreadAmount Float The amount equivalent to AssetSwapSpreadBp. The value is expressed in units of the bond currency. Available for fixed-rate and floating-rate notes. Spread measures Yes
UpfrontSpreadAmount Float

The amount that makes the bond price par, using the current or forward reference rates from the zero curve. The value is expressed in units of the bond currency.

For more details on the field calculation, please refer here.

 Spread measures Yes
UpfrontSpreadBp Float The spread applied to the current or forward reference rates from the zero curve to make the bond price par. The value is expressed in basis points. Spread measures Yes
AssetSwapSpreadBp Float The spread over or under the reference rate (e.g., 'LIBOR') for a bond whose cash flows have been converted from fixed to floating via an interest rate swap. The value is expressed in basis points. Available for fixed-rate and floating-rate notes. Spread measures Yes
SwapSpreadTenor String The code indicating the interest rate curve tenor used for SwapSpreadBp computations. The possible value is 'OIS'. Spread measures No
SwapSpreadBp Float

The spread applied to the yield of the swap benchmark curve and used to compute the yield of the instrument to be priced. The mode of benchmark yield selection for the instrument redemption date is defined in pricing parameter benchmarkYieldSelectionMode. The value is expressed in basis points.

For more details on the field calculation, please refer here.

 Spread measures Yes
SwapBenchmarkCurveYieldPercent Float The yield percent of the swap benchmark curve used to compute SwapSpreadBp. The yield is computed at the instrument redemption date using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode). Spread measures Yes
SwapBenchmarkCurveName String The name of the swap benchmark curve used to compute SwapSpreadBp. Spread measures Yes
SwapBenchmarkCurveNearestRic String The RIC of the point of the swap benchmark curve that is the nearest to the instrument redemption date. Spread measures Yes
SwapBenchmarkCurveLowerRic String The RIC of the point of the swap benchmark curve that is lower to the instrument redemption date. Spread measures Yes
SwapBenchmarkCurveUpperRic String The RIC of the point of the swap benchmark curve that is upper to the instrument redemption date. Spread measures Yes
GovernmentSpreadBp Float

The spread applied to the yield of the government benchmark curve and used to compute the yield of the instrument to be priced. The government benchmark curve is computed from the currency of the instrument. The mode of benchmark yield selection for the instrument redemption date is defined in pricing parameter benchmarkYieldSelectionMode. The value is expressed in basis points. 

For more details on the field calculation, please refer here.

 Spread measures Yes
GovernmentNearestSpreadBp Float The spread applied to the yield of the government benchmark curve computed using the nearest point of this curve to the instrument redemption date. The value is expressed in basis points. Spread measures No
GovernmentBenchmarkCurveYieldPercent Float The yield percent of the government benchmark curve used to compute GovernmentSpreadBp. The government benchmark curve is defined by the currency of the instrument. The yield is computed at the instrument redemption date using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode). Spread measures Yes
GovernmentBenchmarkCurveName String The name of the government benchmark curve used to compute GovernmentSpreadBp. Spread measures Yes
GovernmentBenchmarkCurveNearestRic String The RIC of the point of the government benchmark curve that is the nearest to the instrument redemption date. Spread measures Yes
GovernmentBenchmarkCurveLowerRic String The RIC of the point of the government benchmark curve that is lower to the instrument redemption date. Spread measures Yes
GovernmentBenchmarkCurveUpperRic String The RIC of the point of the government benchmark curve that is upper to the instrument redemption date. Spread measures Yes
GovCountrySpreadBp Float

The spread applied to the yield of the government country benchmark curve and used to compute the yield of the instrument to be priced. The government country benchmark curve is defined by the country of the instrument. It is available only for European countries and USA (USA govCountry benchmark is US Treasuries). The mode of benchmark yield selection for the instrument redemption date is defined in pricing parameter benchmarkYieldSelectionMode. The value is expressed in basis points.

For more details on the field calculation, please refer here.

 Spread measures Yes
GovCountryBenchmarkCurveYieldPercent Float The yield percent of the government country benchmark curve used to compute GovCountrySpreadBp. The government country benchmark curve is defined by the country of the instrument. It is available only for European countries and USA (USA govCountry benchmark is US Treasuries). The yield is computed at the instrument redemption date using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode). Spread measures Yes
GovCountryBenchmarkCurveName String The name of the government country benchmark curve used to compute GovCountrySpreadBp. Spread measures Yes
GovCountryBenchmarkCurveNearestRic String The RIC of the point of the government country benchmark curve that is the nearest to the instrument redemption date. Spread measures Yes
GovCountryBenchmarkCurveLowerRic String The RIC of the point of the government country benchmark curve that is lower to the instrument redemption date. Spread measures Yes
GovCountryBenchmarkCurveUpperRic String The RIC of the point of the government country benchmark curve that is upper to the instrument redemption date. Spread measures Yes
CdsSpreadBp Float The spread applied to the yield of the CDS benchmark curve and used to compute the yield of the instrument to be priced. The mode of benchmark yield selection for the instrument redemption date is defined in pricing parameter benchmarkYieldSelectionMode. The value is expressed in basis points. Spread measures No
CdsBasisBp Float

The difference between CdsSpreadBp and the spread of the instrument (ZSpreadBp for the fixed rate instrument or DiscountMarginBp for the floating rate instrument). The value is expressed in basis points.

For more details on the field calculation, please refer here.

 Spread measures No
CdsNearestSpreadBp Float The spread of the CDS benchmark curve at the nearest point to the instrument redemption date. Spread measures No
CdsNearestBasisBp Float The difference between CdsNearestSpreadBp and the spread of the instrument (ZSpreadBp for the fixed rate instrument or DiscountMarginBp for the floating rate instrument). The value ie expressed in basis points. Spread measures No
CdsBenchmarkCurveName String The name of the CDS benchmark curve used to compute CdsSpreadBp. Spread measures No
CdsBenchmarkCurveNearestRic String The RIC of the point of the CDS curve that is the nearest to the instrument redemption date. Spread measures No
RatingSpreadBp Float

The spread applied to the yield of the rating benchmark curve and used to compute the yield of the instrument to be priced. The rating benchmark curve is the curve with same currency and rating as the instrument. The mode of benchmark yield selection for the instrument redemption date is defined in pricing parameter benchmarkYieldSelectionMode. The value is expressed in basis points.

For more details on the field calculation, please refer here.

 Spread measures Yes
RatingBenchmarkCurveYieldPercent Float The yield percent of the rating benchmark curve used to compute RatingSpreadBp. The yield is computed at the instrument redemption date using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode). Spread measures Yes
RatingBenchmarkCurveName String The name of the rating benchmark curve used to compute RatingSpreadBp. Spread measures Yes
RatingBenchmarkCurveNearestRic String The RIC of the point of the rating benchmark curve that is the nearest to the instrument redemption date. Spread measures Yes
RatingBenchmarkCurveLowerRic String The RIC of the point of the rating benchmark curve that is lower to the instrument redemption date. Spread measures Yes
RatingBenchmarkCurveUpperRic String The RIC of the point of the rating benchmark curve that is upper to the instrument redemption date. Spread measures Yes
SectorRatingSpreadBp Float

The spread applied to the yield of the sector rating benchmark curve and used to compute the yield of the instrument to be priced. The sector rating benchmark curve is the curve with same currency, rating and sector as the instrument. The mode of benchmark yield selection for the instrument redemption date is defined in pricing parameter benchmarkYieldSelectionMode. The value is expressed in basis points.

For more details on the field calculation, please refer here.

 Spread measures Yes
SectorRatingBenchmarkCurveYieldPercent Float The yield percent of the sector rating benchmark curve used to compute SectorRatingSpreadBp. The yield is computed at the instrument redemption date using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode). Spread measures Yes
SectorRatingBenchmarkCurveName String The name of the sector rating benchmark curve used to compute SectorRatingSpreadBp. Spread measures Yes
SectorRatingBenchmarkCurveNearestRic String The RIC of the point of the sector rating benchmark curve that is the nearest to the instrument redemption date. Spread measures Yes
SectorRatingBenchmarkCurveLowerRic String The RIC of the point of the sector rating benchmark curve that is lower to the instrument redemption date. Spread measures Yes
SectorRatingBenchmarkCurveUpperRic String The RIC of the point of the sector rating benchmark curve that is upper to the instrument redemption date. Spread measures Yes
BenchmarkAtIssueSpreadBp Float

The spread applied to the yield of the benchmark at issue and used to compute the yield of the instrument to be priced. The value is expressed in basis points.

For more details on the field calculation, please refer here.

 Spread measures No
BenchmarkAtIssueRic String The RIC of the benchmark at the instrument issue date. Spread measures No
BenchmarkAtIssuePrice Float The price of the benchmark at the instrument issue date used to compute BenchmarkAtIssueSpreadBp. Spread measures No
BenchmarkAtIssueYieldPercent Float The yield percent of the benchmark at the instrument issue date used to compute BenchmarkAtIssueSpreadBp. Spread measures No
BenchmarkAtRedemptionSpreadBp Float

The spread applied to the yield of the benchmark defined for the current instrument at redemption date and used to compute the yield of the instrument to be priced. The value is expressed in basis points.

For more details on the field calculation, please refer here.

 Spread measures No
BenchmarkAtRedemptionRic String The RIC of the benchmark at the instrument current redemption date. Spread measures No
BenchmarkAtRedemptionPrice Float The price of the benchmark at the instrument current redemption date, equivalent to BenchmarkAtRedemptionYieldPercent. Spread measures No
BenchmarkAtRedemptionYieldPercent Float The yield percent of the benchmark at the instrument current redemption date used to compute BenchmarkAtRedemptionSpreadBp. Spread measures No
EfpSpreadBp Float

The spread applied to the yield of the Exchange of futures for physical (EFP) benchmark, computed at the instrument redemption date and used to compute the yield of the instrument to be priced. The value is expressed in basis points. Available only for Australian fixed rate bonds.

For more details on the field calculation, please refer here.

 Spread measures No
EfpBenchmarkPrice Float The price of the Exchange of futures for physical (EFP) benchmark, equivalent to EfpBenchmarkYieldPercent. Available only for Australian fixed rate bonds. Spread measures No
EfpBenchmarkYieldPercent Float The yield percent of the Exchange of futures for physical (EFP) benchmark used to compute EfpSpreadBp. The yield is computed at the instrument redemption date. Available only for Australian fixed rate bonds. Spread measures No
EfpBenchmarkRic String The RIC of the Exchange of futures for physical (EFP) benchmark. The RIC can only be 'YTTc1' or 'YTCc1'. Available only for Australian fixed rate bonds. Spread measures No
EdsfSpreadBp Float

The spread applied to the yield of the Euro-Dollar future benchmark curve and used to compute the yield of the instrument to be priced. This spread is computed for the USD bond whose maturity is under 2 years. The mode of benchmark yield selection for the instrument redemption date is defined in pricing parameter benchmarkYieldSelectionMode. The value is expressed in basis points.

For more details on the field calculation, please refer here.

 Spread measures Yes
EdsfBenchmarkCurveYieldPercent Float The yield percent of the Euro-Dollar future benchmark curve, used to compute EdsfSpreadBp. The yield is computed at the instrument redemption date using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode). Spread measures Yes
IssuerSpreadBp Float

The spread applied to the yield of the issuer benchmark curve and used to compute the yield of the instrument to be priced. The value is expressed in basis points.

For more details on the field calculation, please refer here.

 Spread measures Yes
IssuerBenchmarkCurveYieldPercent Float The yield percent of the issuer benchmark curve, used to compute IssuerSpreadBp.  Spread measures No
OisZcBenchmarkCurveYieldPercent Float The yield percent of the overnight indexed swap (OIS) zero curve used to compute OisZcSpreadBp. The OIS zero curve is computed from the pricing currency. The yield is computed at the instrument redemption date using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode). Spread measures No
OisZcSpreadBp Float

The spread applied to the yield of the overnight indexed swap (OIS) zero curve and used to compute the yield of the instrument to be priced. The OIS zero curve is computed from the pricing currency. The mode of benchmark yield selection for the instrument redemption date is defined in pricing parameter benchmarkYieldSelectionMode. The value is expressed in basis points.

For more details on the field calculation, please refer here.

 Spread measures No
AverageLife Float

The average remaining time to all principal instrument payments, weighted by the repayment amounts. It doesn't take into account interest payments. The value is expressed in years.

For more details on the field calculation, please refer here.

 Nominal measures Yes
Duration Float

The weighted average maturity of all cash flows. The final cash flow includes the principal, which has a much greater weight than the intermediate cash flows.

For more details on the field calculation, please refer here.

 Nominal measures Yes
ModifiedDuration Float

The measure of price sensitivity to 100 basis point change in the instrument's yield, or 1% parallel shift in the underlying zero-coupon curve in case of interest rate swap instruments. For a floating rate instrument, it is computed as time to next payment.

For more details on the field calculation, please refer here.

 Nominal measures Yes
Convexity Float

The measure of the curvature in the relationship between the instrument's price and yield.

For more details on the field calculation, please refer here.

 Nominal measures Yes
IndexDuration Float The measure of price sensitivity to a small change in index rates used to calculate payments on the instrument. Nominal measures Yes
SpreadDuration Float The measure of price sensitivity to a small change in the discount margin. Available only for floating rate instruments.  Nominal measures Yes
DV01Bp Float

The sensitivity of the market value to a 1bp parallel shift in the zero-coupon curve. The value is expressed in basis points.

For more details on the field calculation, please refer here.

 Nominal measures Yes
DV01AmountInDealCcy Float

The sensitivity of the market value to a 1bp parallel shift in the zero-coupon curve. The value is expressed in the deal currency.

For more details on the field calculation, please refer here.

 Nominal measures Yes
DV01AmountInReportCcy Float

The sensitivity of the market value to a 1bp parallel shift in the zero-coupon curve. The value is expressed in the reporting currency.

For more details on the field calculation, please refer here.

 Nominal measures Yes
OptionAdjustedAverageLife Float The instrument's average life adjusted for an embedded option using the Hull-White model. Available for callable/puttable bonds. Effective measures No
OptionAdjustedDuration Float The instrument's duration adjusted for an embedded option using the Hull-White model. Available for callable/puttable bonds. Effective measures Yes
OptionAdjustedModifiedDuration Float The modified duration adjusted for an embedded option using the Hull-White model. Available for callable/puttable bonds. Effective measures Yes
OptionAdjustedConvexity Float The convexity adjusted for an embedded option using the Hull-White model. Available for callable/puttable bonds. Effective measures Yes
OptionAdjustedDV01Bp Float DV01Bp adjusted for an embedded option using the Hull-White model. DV01Bp is the absolute change in the price of the bond caused by a change of the yield by one basis point. Available for callable/puttable bonds.  Effective measures Yes
OptionAdjustedDV01AmountInDealCcy Float The DV01 amount adjusted for an embedded option using the Hull-White model. DV01Bp is the absolute change in the price of the bond caused by a change of the yield by one basis point. The value is expressed in the deal currency. Available for callable/puttable bonds.  Effective measures Yes

Additional Materials

Instrument Definition with 'instrumentCode' / user-defined bond

The table below contains information which of the 'instrumentDefinition' object properties can be used for a bond defined with the 'instrumentCode' or/and for a user-defined bond.

Instrument definition Bond defined with instrumentCode User-defined Bond
accruedCalculationMethod n/a Optional
adjustInterestToPaymentDate n/a Optional
amortizationSchedule n/a Optional
endDate n/a Mandatory
firstAccrualDate n/a Optional
firstRegularPaymentDate n/a Optional
fixedRatePercent Optional Optional
fixedRatePercentSchedule n/a Optional
indexCompoundingMethod n/a Optional
indexFixingLag n/a Optional
indexFixingRic n/a Mandatory
indexResetFrequency n/a Optional
instrumentCode Mandatory n/a
instrumentTag Optional Optional
interestCalculationConvention n/a Optional
interestCalculationMethod n/a Mandatory
interestPaymentDelay n/a Optional
interestPaymentFrequency n/a Mandatory
interestType n/a

Fixed rate bond: Optional

Floating rate note: Mandatory
isPerpetual n/a Optional
issueDate Optional Mandatory
lastRegularPaymentDate n/a Optional
notionalAmount Optional Optional
notionalCcy Optional Mandatory
paymentBusinessDayConvention n/a Optional
paymentBusinessDays n/a Optional
paymentRollConvention n/a Optional
rateStructure Optional Optional
spreadBp n/a Optional
stubRule n/a Optional
template n/a Optional

Bond Styles

Values Description
AGB Australian Treasury Bonds
AGTB Australian Treasury Bills
AUST Austrian Treasury Bonds
AUTTB Austrian Treasury Bills
BELTB Belgian Treasury Bills
BF_BDP Conversion Factor Style for BDP
BF_BM Conversion Factor Style for Bourse de Montreal
BF_EUROBTPF Conversion Factor Style for EURO BTP future
BF_CBOT Conversion Factor Style for CBOT
BF_EUREX Conversion Factor Style for EUREX
BF_JSE Conversion Factor Style for South African Bond Futures JSE
BF_LIFFE Conversion Factor Style for LIFFE
BF_MATIF Conversion Factor Style for MATIF
BF_MEFF Conversion Factor Style for MEFF
BF_MD Conversion Factor Style for MexDer
BF_MIF Conversion Factor Style for MIF
BF_MRTS Conversion Factor for MRTS
BF_NSEI Conversion Factor style for Indian market
BF_OM Conversion Factor Style for OM
BF_SWI Conversion Factor Style for SWI
BF_TAIFEX Conversion Factor Style for TAIFEX
BF_TES Conversion Factor Style for Colombian government bond future TES
BF_TSE Conversion Factor Style for TSE
BF_SFE Conversion Factor Style for SFE
BF_SHAHAR Conversion Factor Style for SHAHAR
BF_HKEFN Conversion Factor Style for Hong Kong EFN
BF_OFZ Conversion Factor Style for Russian Government Bond Future
BF_WSE Conversion Factor Style for Polish Government Bond Future
BGB Belgian Treasury Bonds
BONTE Argentinian Fixed Rate Treasury Bonds
BOT Italian Treasury Bills (BOT)
BOTE Italian Treasury Bills (Harmonized)
BRA_BBC Bonus de Banco Central
BRA_NTN Notas de Banco Central
BTAN French Treasury Notes
BTF French Treasury Bills
BTP Italian Treasury Bonds
BTPE Italian Treasury Bonds (Harmonized)
BUBILL German Treasury Bills
BULT Bulgarian Treasury Bonds
BULTB Bulgarian Treasury Bills
BULTN Bulgarian Treasury Notes
BUND German Treasury Bonds
CAN1 Canadian Treasury Bonds (Greater than 3 years)
CAN2 Canadian Treasury Bonds (Less than 3 years)
CANTB Canadian Treasury Bills
CDA0 Certificates of Deposit (Actual/360)
CDA5 Certificates of Deposit (Actual/365)
CETES Mexican Treasury Bills
CFAA2 Conversion Factor Style (Actual/Actual)
CHTB Swiss Treasury Bills
CL_PRBC Pagares Reajustables del Banco Central
CL_PRC Pagares Reajustables con pago en cupones del Banco Central
CLPDBC Chilean Treasury Bills
CNBOND China Treasury Bond
CNTB China Treasury Bill
CTZ Italian Zero Coupon Bonds (CTZ)
CTZE Italian Zero Coupon Bonds (Harmonised)
CZEC Czech Corporate Bonds
CZET Czech Treasury Bonds Prague Stock Exchange
CZETOTC Czech Treasury Bonds OTC
CZETB Czech Treasury Bills
DENTB Danish Treasury Bills
DGB Danish Treasury Bonds
DGB1 Danish Treasury Bonds before 08Feb2001
EUR1 European Treasury Bonds (Annual)
EUR2 European Treasury Bonds (Semi-Annual)
EURO Eurobonds
FIN Finnish Treasury Bonds
FINTB Finnish Treasury Bills
GILT_OLD UK Treasury Bonds (Act/365)
GILT UK Treasury Bonds
GRE Greek Treasury Bonds
GRETB Greek Treasury Bills
HKEFB Hong Kong Exchange Funds Bills
HKEFN Hong Kong Exchange Funds Notes
HUFT Hungarian Treasury Bond
HUFTB Hungarian Treasury Bills
IDB Indonesian Government Treasury Bonds
IDFR Indonesian Government Fixed Rate Bonds
IDVR Indonesian Government Variable Rates Bonds
IGB_XD10 Irish Treasury Bonds (Issued From Sept. 1997 XD rule before 1-1-99)
IGB Irish Treasury Bonds (Issued From Sept. 1997 XD rule after 1-1-99)
IGB1_XD10 Irish Treasury Bonds (Issued Up to 1993 XD rule before 1-1-99)
IGB1 Irish Treasury Bonds (Issued Up to 1993 XD rule after 1-1-99)
IGB2_XD10 Irish Treasury Bonds (Issued From 1993 to Sept. 1997 XD rule before 1-1-99)
IGB2 Irish Treasury Bonds (Issued From 1993 to Sept. 1997 XD rule after 1-1-99)
IND Indian Treasury Bonds
JGB Japanese Treasury Bonds
JGDTB Japanese Discount Treasury Bill
JGTB Japanese Treasury Bills
KEN Kenya Debt Market
KORG Korean Treasury Bonds
LETRA1 Spanish Treasury Bills
LETRA2 Spanish Treasury Bills (18 Months)
LUT Luxembourg Treasury Bonds
MEX_CETES Certificados de la Tesoreria 
MEX_UDIBONOS Bonos de Desarrollo del Govierno Federal Denominados en UDIS
MGB Malta Treasury Bonds
MYB Malaysia Government Treasury Bonds
MYTB Malaysia Government Treasury Bills
NETH Dutch Treasury Bonds
NETHTB Dutch State Loans
NOR Norwegian Treasury Bonds
NORTB Norwegian Treasury Bills
NZB New Zealand Treasury Bonds
NZTB New Zealand Treasury/Bank Bills
OAT French Treasury Bonds
PHTB Philippines Treasury Bills
PHTN Philippines Treasury Notes
POL1 Polish Treasury Bonds (Annual - Issued after April 2002)
POL1_XD6 Polish Treasury Bonds (Annual - Issued before April 2002)
POL2 Polish Treasury Bonds (Quarterly)
POLTB Polish Treasury Bills
PORT1_AA Portuguese Treasury Bonds (Annual Act/Act)
PORT1 Portuguese Treasury Bonds (Annual)
PORT2_AA Portuguese Treasury Bonds (Semi-Annual Act/Act)
PORT2 Portuguese Treasury Bonds (Semi-Annual)
PORTI Portuguese Treasury Bonds (Euro)
PORTTB Portuguese Treasury Bills
ROMTB Romanian Treasury Bills
RSA South African Treasury Bonds
RUSTB Russian Treasury Bills
SGB Singapore Treasury Bonds
SGTB Singapore Treasury Bills
SLKC Slovak Corporate Bonds
SLKT Slovak Treasury Bonds
SLKTB Slovak Treasury Bills
SPGB Spanish Treasury Bonds
STRIPS Spanish Strips
SWE Swedish Treasury Bonds
SWETB Swedish Treasury Bills
SWISS Swiss Treasury Bonds
THB Thai Treasury Bills
THT Thai Treasury Bonds
THT_XD10 Thai Treasury Bonds - 10 Day XD Period
THT_XD15 Thai Treasury Bonds - 15 Day XD Period
TURTB Turkish Treasury Bills
TWB1 Taiwan Government Bonds - Construction (Annual)
TWB2 Taiwan Government Bonds - Construction (Semi-annual)
TWTB Taiwan Treasury Bills
UKRTB Ukrainian Treasury Bills
UKTB UK Treasury Bills
USC US Corporate Bonds
USM US Municipal Bonds
UST US Treasury Bonds
USTB US Treasury Bills
VETEM Venezuelan Fixed Rate Treasury Bonds
VIETNA Vietnam Treasury Bonds
FNMA Fannie Mae
GNMA Ginnie Mae
FHLMC Freddie Mac
GNMA2 Ginnie Mae 2