package tf_quant_finance.experimental.pricing_platform.instrument_protos

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Interest rate swap proto

Used in: Instrument

bool short_position = 1
Whether the price is computed for the contract holder. `True` means that the price is for the contract holder.
optional Date expiry_date = 2
Expiry date
Currency currency = 3
Denominated currency
string equity = 4
Underlying equity
optional Decimal contract_amount = 5
Contract notional
optional Decimal strike = 6
Strike
BusinessDayConvention business_day_convention = 8
Business day convention
BankHolidays bank_holidays = 9
Holiday calendar
int32 settlement_days = 10
Settlement days
optional InstrumentMetadata metadata = 11
Common metadata needed to identify the trade.
bool is_call_option = 12
Whether the option is call/put

Bank holidays captures the calendar used to generate public holidays. (== suppress_warning documentation-presence ==)

Used in: AmericanEquityOption, FixedLeg, FloatingLeg, ForwardRateAgreement, InterestRateSwap

BANK_HOLIDAYS_UNKNOWN = 0
Bank holiday calendar to count business days.
US = 1
UK = 2

Business day convention proto. Determines how non-business days are treated if the payment is due on a non-business

Used in: AmericanEquityOption, FixedLeg, FloatingLeg, ForwardRateAgreement

BUSINESS_DAY_CONVENTION_UNKNOWN = 0
Unknown business day convention.
NO_ADJUSTMENT = 1
Business Holidays are ignored. Cash flows are assumed to be distributed on the actual date
PREVIOUS = 2
Move cash flows from a non-business day to the previous business day
FOLLOWING = 3
Move cash flows from a non-business day to the following business day
MODIFIED_PREVIOUS = 4
Move cash flows from a non-business day to the previous business day However, if the previous day is in the different month, the following business day is used
MODIFIED_FOLLOWING = 5
Move cash flows from a non-business day to the following business day However, if the following day is in the different month, the previous business day is used
EOM_NO_ADJUSTMENT = 6
All cash flow is moved to the final day of the month regardless whether it is a business day
EOM_PREVIOUS = 7
All cash flow is moved to the last business day of the month
EOM_FOLLOWING = 8
All cash flow is moved to the final day of the month. If the last day is a non-business day, move to the next business day

Currencies

Used in: AmericanEquityOption, FixedLeg, FloatingLeg, ForwardRateAgreement, InterestRateSwap

CURRENCY_UNDEFINED = 0
USD = 1
G10 Currencies.
US dollar
GBP = 2
British Pound
EUR = 3
Euro
JPY = 4
Japanese Yen
AUD = 5
Australian Dollar
NZD = 6
New Zealand Dollar
CAD = 7
Canadian Dollar
CHF = 8
Swiss Franc
NOK = 9
Norwegian Krone
SEK = 10
Swedish Krona
DKK = 11
Not formally G10 but often included nevertheless
Danish Krone
MXN = 12
Non G10 currencies.
CNY = 13
RUB = 14
HKD = 15
SGD = 16
TRY = 17
KRW = 18
ZAR = 19
INR = 20
BRL = 21

Date in the format CCYY-MM-DD where CC represents the century, YY the year, MM the month and DD the day.

Used in: AmericanEquityOption, ForwardRateAgreement, InterestRateSwap, Swaption

int32 year = 1
The year for the date.
int32 month = 2
The month of the year. Must be between 1 and 12.
int32 day = 3
The day of the month. Must be within the range for the month and year.

Day count convention proto. Used to determine how to compute accrued interest. See https://en.wikipedia.org/wiki/Day_count_convention

Used in: FixedLeg, FloatingLeg, ForwardRateAgreement

DAY_COUNT_CONVENTION_UNKNOWN = 0
Unknown day count.
ACTUAL_ACTUAL_ISDA = 1
Actual calendar day count
ACTUAL_360 = 2
Actual day count assuming 360 days in a year
ACTUAL_365 = 3
Actual day count assuming 365 days in a year
CONVENTION_30_360 = 4
30 days in a month, 360 days in a year

Represents decimal numbers exactly. Protobufs don't have native support for decimals. A commonly used pattern to represent decimals is shown here: https://github.com/googleapis/googleapis/blob/master/google/type/money.proto This is also a pattern recommended here: https://docs.microsoft.com/en-us/dotnet/architecture/grpc-for-wcf-developers/protobuf-data-types#decimals

Used in: AmericanEquityOption, FixedLeg, FloatingLeg, ForwardRateAgreement

int64 units = 1
The number of units before the decimal point. For example, if the number is 12.38484 then units = 12.
sfixed32 nanos = 2
The fractional part expressed as nanos (i.e. as multiple of 1e-9). For example, if the number is 12.38484, then units = 12 and nanos = 384,840,000

Used in: SwapLeg

Currency currency = 1
Underlying currency
optional Period coupon_frequency = 2
Coupon frequency
optional Decimal notional_amount = 3
Notional amount for the leg
DayCountConvention daycount_convention = 4
Fixed leg day count convention.
BusinessDayConvention business_day_convention = 5
Business day convention
int32 settlement_days = 6
Settlement days
BankHolidays bank_holidays = 7
Holiday calendar
optional Decimal fixed_rate = 8
Fixed leg rate

Floating swap leg description

Used in: SwapLeg

Currency currency = 1
Underlying currency
optional Period coupon_frequency = 2
Reset frequency
optional Decimal notional_amount = 3
Notional amount for the leg
DayCountConvention daycount_convention = 4
Floating rate type
BusinessDayConvention business_day_convention = 5
Business day convention
int32 settlement_days = 6
Settlement days
BankHolidays bank_holidays = 7
Holiday calendar
optional Period reset_frequency = 8
optional RateIndex floating_rate_type = 9
Coupon frequency
optional Decimal spread = 10
Float leg day count convention. Coupon spread

Floating rate term

Used in: ForwardRateAgreement

optional RateIndex floating_rate_type = 1
optional Period term = 2
Reset frequency

Forward Rate Agreement proto

Used in: Instrument

bool short_position = 1
Whether the contract holder lends or borrows the money (i.e., floating or fixed rate payer). short_position = True means that the contract holder lends the money at the fixed rate.
optional Date fixing_date = 2
Fixing date. Fixing date is the date at which the interest rate accumulation starts.
Currency currency = 3
Denominated currency
optional FloatingRateTerm floating_rate_term = 4
Floating rate term
optional Decimal notional_amount = 5
Contract notional
optional Decimal fixed_rate = 6
Fixed rate
DayCountConvention daycount_convention = 7
Day count convention
BusinessDayConvention business_day_convention = 8
Business day convention
BankHolidays bank_holidays = 9
Holiday calendar
int32 settlement_days = 10
Settlement days
optional InstrumentMetadata metadata = 11
Common metadata needed to identify the trade.

Proto for the supported instruments.

oneof type
- InterestRateSwap interest_rate_swap = 1
- ForwardRateAgreement forward_rate_agreement = 2
- Swaption swaption = 3
- AmericanEquityOption american_equity_option = 4

Holds metadata for an instrument.

Used in: AmericanEquityOption, ForwardRateAgreement, InterestRateSwap, Swaption

string instrument_type = 1
The type of the instrument. This should be the name of the containing message (e.g. ForwardRateAgreement).
string id = 2
An arbitrary identifier for the instrument/trade. This ID should be immutable once assigned to an instrument - in particular, aging events shouldn't change this ID.
string counterparty = 3
Counterparty to this trade.

Interest rate swap proto

Used in: Instrument, Swaption

optional Date effective_date = 2
The effective date of the instrument. Effective date is the date at which the interest rate accumulation starts.
optional Date maturity_date = 3
Maturity date of the contract
Currency currency = 4
Denominated currency
optional SwapLeg receive_leg = 5
Receiver leg
optional SwapLeg pay_leg = 6
Payer leg
BankHolidays bank_holidays = 7
Holiday calendar
optional InstrumentMetadata metadata = 8
Common metadata needed to identify the trade.

Period message

Used in: FixedLeg, FloatingLeg, FloatingRateTerm

PeriodType type = 1
int32 amount = 2

Period types

Used in: Period

TYPE_UNKNOWN = 0
DAY = 1
WEEK = 2
MONTH = 3
QUARTER = 4
YEAR = 5

Supported rate indices

Used in: FloatingLeg, FloatingRateTerm

RateIndexName name = 1
RateIndexType type = 2
string source = 3
Source of the index info (e.g., Reuters, Bloomberg)

TODO(b/159106041): Complete RateIndexType definitions

Used in: RateIndex

RATE_INDEX_NAME_UNKNOWN = 0
As in ISDA 2006 Definitions. See, e.g., https://spec.edmcouncil.org/fibo/ontology/IND/InterestRates/InterestRates/InterestRateBenchmark
LIBOR rate
AUD_LIBOR_BBA = 1
AUD_AONIA_OIS_COMPOUND = 2
CAD_LIBOR_BBA = 3
CAD_CORRA_OIS_COMPOUND = 4
CHF_LIBOR_BBA = 5
CHF_TOIS_OIS_COMPOUND = 6
CHF_SARON_OIS_COMPOUND = 7
Substitute for TOIS
USD_LIBOR_BBA = 8
USD_SOFR_COMPOUND = 9
USD_TBILL_H15 = 10
GBP_LIBOR_BBA = 11
GBP_SONIA_COMPOUND = 12
EUR_EONIA_OIS_COMPOUND = 13
EUR_LIBOR_BBA = 14
JPY_LIBOR_BBA = 15
JPY_TONA_OIS_COMPOUND = 16
USD_LIBOR = 1001
USER-specific rates
GBP_LIBOR = 1002
CHF_LIBOR = 1003
JPY_LIBOR = 1004
EUR_LIBOR = 1005
AUD_LIBOR = 1006
CAD_LIBOR = 1007
USD_OIS = 1008
USD_SOFR = 1009
GBP_OIS = 1010
GBP_SOFR = 1011
CHF_OIS = 1012
CHF_SOFR = 1013
JPY_OIS = 1014
JPY_SOFR = 1015
EUR_OIS = 1016
EUR_SOFR = 1017
AUD_SOFR = 1018
CAD_SOFR = 1019
AUD_OIS = 1020
CAD_OIS = 1021

Supported rate curve indices.

Used in: RateIndex

RATE_INDEX_TYPE_UNKNOWN = 0
OIS = 1
SOFR = 2
USD
SONIA = 3
GBP
ESTER = 4
EUR
SARON = 5
CHF
LIBOR_OVERNIGHT = 6
LIBOR_1W = 7
LIBOR_1M = 8
LIBOR_3M = 9
LIBOR_6M = 10
LIBOR_1Y = 11
EURIBOR_OVERNIGHT = 12
EUR
EURIBOR_1W = 13
EUR
EURIBOR_1M = 14
EUR
EURIBOR_3M = 15
EUR
EURIBOR_6M = 16
EUR
EURIBOR_1Y = 17
EUR
STIBOR_OVERNIGHT = 18
SEK
STIBOR_1W = 19
SEK
STIBOR_1M = 20
SEK
STIBOR_3M = 21
SEK
STIBOR_6M = 22
SEK

Swap leg type. Either fixed or floating type. Can be extended to

Used in: InterestRateSwap

oneof type
- FloatingLeg floating_leg = 1
- FixedLeg fixed_leg = 2

Swaption proto

Used in: Instrument

optional Date expiry_date = 2
The expiry date (or the exercise date) of the swaption.
optional InterestRateSwap swap = 3
Underlying swap for the swaption.
optional InstrumentMetadata metadata = 4
Common metadata needed to identify the trade.

package tf_quant_finance.experimental.pricing_platform.instrument_protos

message AmericanEquityOption

bool short_position = 1

optional Date expiry_date = 2

Currency currency = 3

string equity = 4

optional Decimal contract_amount = 5

optional Decimal strike = 6

BusinessDayConvention business_day_convention = 8

BankHolidays bank_holidays = 9

int32 settlement_days = 10

optional InstrumentMetadata metadata = 11

bool is_call_option = 12

enum BankHolidays

BANK_HOLIDAYS_UNKNOWN = 0

US = 1

UK = 2

enum BusinessDayConvention

BUSINESS_DAY_CONVENTION_UNKNOWN = 0

NO_ADJUSTMENT = 1

PREVIOUS = 2

FOLLOWING = 3

MODIFIED_PREVIOUS = 4

MODIFIED_FOLLOWING = 5

EOM_NO_ADJUSTMENT = 6

EOM_PREVIOUS = 7

EOM_FOLLOWING = 8

enum Currency

CURRENCY_UNDEFINED = 0

USD = 1

GBP = 2

EUR = 3

JPY = 4

AUD = 5

NZD = 6

CAD = 7

CHF = 8

NOK = 9

SEK = 10

DKK = 11

MXN = 12

CNY = 13

RUB = 14

HKD = 15

SGD = 16

TRY = 17

KRW = 18

ZAR = 19

INR = 20

BRL = 21

message Date

int32 year = 1

int32 month = 2

int32 day = 3

enum DayCountConvention

DAY_COUNT_CONVENTION_UNKNOWN = 0

ACTUAL_ACTUAL_ISDA = 1

ACTUAL_360 = 2

ACTUAL_365 = 3

CONVENTION_30_360 = 4

message Decimal

int64 units = 1

sfixed32 nanos = 2

message FixedLeg

Currency currency = 1

optional Period coupon_frequency = 2

optional Decimal notional_amount = 3

DayCountConvention daycount_convention = 4

BusinessDayConvention business_day_convention = 5

int32 settlement_days = 6

BankHolidays bank_holidays = 7

optional Decimal fixed_rate = 8

message FloatingLeg

Currency currency = 1

optional Period coupon_frequency = 2

optional Decimal notional_amount = 3

DayCountConvention daycount_convention = 4

BusinessDayConvention business_day_convention = 5

int32 settlement_days = 6

BankHolidays bank_holidays = 7