demo-alfa-with-fire-json-model
fire.model.derivative
A derivative is a contract which derives its value from an underlying reference index, security or asset.
Local Fields
| Name | Datatype | Description |
|---|---|---|
| date | datetime | The observation or value date for the data in this object. Formatted as YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
| risk_weight_std | double ? | The standardised approach risk weight represented as a decimal/float such that 1.5% is 0.015. |
| accounting_treatment |  fire.model.accounting_treatment ? |
|
| mtm_clean | int ? | The mark-to-market value of the derivative excluding interest. Monetary type represented as a naturally positive integer number of cents/pence. |
| impairment_status | fire.model.impairment_status ? |
|
| impairment_amount | int(0, *) ? | The impairment amount for a security is the allowance set aside by the firm for losses. |
| reporting_entity_name | string ? | The name of the reporting legal entity for display purposes. |
| delta | double ? | Price sensitivity to the underlying. |
| underlying_quantity | double ? | Number of underlying units related to the underlying_price |
| source | string ? | The source(s) where this data originated. If more than one source needs to be stored for data lineage, it should be separated by a dash. eg. Source1-Source2 |
| type | fire.model.derivative_type ? |
This is the type of the derivative with regards to common regulatory classifications. |
| theta | double ? | Price sensitivity with respect to time. |
| underlying_issuer_id | string ? | The unique identifier used by the financial institution to identify the underlying reference issuer for this derivative. |
| ledger_code | string ? | The internal ledger code or line item name. |
| balance | int ? | Outstanding amount including accrued interest. Monetary type represented as a naturally positive integer number of cents/pence. |
| underlying_strike | double ? | Strike price of the option, which is compared to the underlying price on the option exercise date. |
| id | string | The unique identifier for the record within the firm. |
| deal_id | string ? | The unique identifier used by the financial institution for the deal to which this derivative belongs. |
| lgd_floored | double(0.0, 1.0) ? | The final LGD value after the relevant floors have been applied. To be used in the IRB RWA calculations. |
| call_dates | list< datetime > ? | Dates where this contract can be called (by the customer). Formatted as YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
| supervisory_price | double ? | Current price/value of the underlying of an option when different from underlying_price, e.g. for Asian-style options. |
| asset_class | fire.model.asset_class ? |
|
| last_payment_date | datetime ? | The final payment date for interest payments, often coincides with end_date. |
| next_receive_date | datetime ? | The next date at which interest will be received or accrued_interest balance returned to zero. |
| product_name | string ? | The name of the product as given by the financial institution to be used for display and reference purposes. |
| country_code | fire.model.country_code ? |
Two-letter country code for derivative location/jurisdiction. In accordance with ISO 3166-1. |
| base_rate | fire.model.derivative_base_rate ? |
The base rate represents the basis of the rate on the balance at the given date as agreed in the terms of the financial product. |
| underlying_security_id | string ? | The unique identifier used by the financial institution to identify the underlying reference security for this derivative. |
| asset_liability | fire.model.asset_liability ? |
|
| position | fire.model.derivative_position ? |
Specifies the market position, i.e. long or short, of the derivative leg |
| first_payment_date | datetime ? | The first payment date for interest payments. |
| cost_center_code | string ? | The organizational unit or sub-unit to which costs/profits are booked. |
| settlement_type | fire.model.derivative_settlement_type ? |
The type of settlement for the contract. |
| status | fire.model.derivative_status ? |
Provides additional information regarding the status of the derivative. |
| end_date | datetime ? | YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601 |
| initial_margin | int ? | Upfront margin posted/received for the trade. Monetary type as integer number of cents. |
| mic_code | string(4, 4) ? | |
| pd_irb | double(0.0, 1.0) ? | The probability of default as determined by internal rating-based methods, represented as a number between 0 and 1. |
| leg_type | fire.model.derivative_leg_type ? |
Describe the payoff type of the derivative leg. |
| purpose | fire.model.derivative_purpose ? |
The purpose for which the derivative is being held. |
| risk_country_code | fire.model.country_code ? |
Two-letter country code describing where the risk for the derivative product resides. In accordance with ISO 3166-1 |
| fvh_level | int(1, 3) ? | Fair value hierarchy category according to IFRS 13.93 (b) |
| underlying_derivative_id | string ? | The unique identifier used by the financial institution to identify the underlying reference derivative for this derivative. |
| notional_amount | int ? | The notional value is the total value with regard to a derivative's underlying index, security or asset at its spot price in accordance with the specifications (i.e. leverage) of the derivative product. Monetary type represented as a naturally positive integer number of cents/pence. |
| implied_vol | double ? | Options: implied volatility used to compute mtm and greeks. |
| regulatory_book | fire.model.regulatory_book ? |
|
| risk_weight_irb | double ? | The internal risk weight represented as a decimal/float such that 1.5% is 0.015. |
| currency_code | fire.model.currency_code ? |
Actual currency of the underlying reference index, security or asset for the derivative in accordance with ISO 4217 standards. It should be consistent with balance, accrued_interest, guarantee_amount and other monetary amounts. |
| next_payment_date | datetime ? | The next date at which interest will be paid or accrued_interest balance returned to zero. |
| underlying_index | string ? | The name of a derivative contract underlying which can be used for all derivative asset classes (e.g. interest rate index, credit index, equity index |
| on_balance_sheet | boolean ? | Is the derivative reported on the balance sheet of the financial institution? |
| rate | double ? | The full interest rate applied to the derivative notional in percentage terms. Note that this therefore includes the base_rate (ie. not the spread). |
| insolvency_rank | int(1, *) ? | The insolvency ranking as per the national legal framework of the reporting institution. |
| ccr_approach | fire.model.derivative_ccr_approach ? |
Specifies the approved counterparty credit risk methodology for calculating exposures. |
| cr_approach | fire.model.cr_approach ? |
Specifies the approved credit risk rwa calculation approach to be applied to the exposure. |
| csa_id | string ? | The unique identifier of the credit support annex for this derivative |
| prev_payment_date | datetime ? | The most recent previous date at which interest was paid or accrued_interest balance returned to zero. |
| next_exercise_date | datetime ? | The next date at which the option can be exercised. |
| break_dates | list< datetime > ? | Dates where this contract can be broken (by either party). Formatted as YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
| last_exercise_date | datetime ? | The last date on which an option can be exercised. For European options, it is the option exercise date |
| start_date | datetime ? | Contract effective or commencement date; security issue date. Format YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
| underlying_index_tenor | fire.model.derivative_underlying_index_tenor ? |
The designated maturity of the underlying interest rate index used in the underlying_index property for interest rate derivatives |
| mna_id | string ? | The unique identifier of the Master Netting Agreement for this derivative |
| underlying_price | double ? | Current price/value of the underlying. |
| strike | double ? | Strike price of the option, which is compared to the underlying price on the option exercise date. |
| reporting_id | string ? | The internal ID for the legal entity under which the account is being reported. |
| version_id | string ? | The version identifier of the data such as the firm's internal batch identifier. |
| trade_date | datetime ? | The timestamp that the trade or financial product terms are agreed. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
| lgd_irb | double(0.0, 1.0) ? | The loss given default as determined by internal rating-based methods, represented as a number between 0 and 1. |
| next_receive_amount | int ? | The amount that is expected to be received at the next_receive_date. Monetary type represented as a naturally positive integer number of cents/pence. |
| next_reset_date | datetime ? | The date on which the periodic payment term and conditions of a contract agreement are reset/re-established. |
| mtm_dirty | int ? | The mark-to-market value of the derivative including interest. Monetary type represented as a naturally positive integer number of cents/pence. |
| rho | double ? | Price sensitivity to interest rates. |
| accrued_interest | int ? | The accrued interest since the last payment date and due at the next payment date. Monetary type represented as a naturally positive integer number of cents/pence. |
| customer_id | string ? | The unique identifier used by the financial institution to identify the customer for this product. |
| gamma | double ? | Second-order price sensitivity to the underlying or rate of change of the delta. |
| underlying_currency_code | fire.model.currency_code ? |
Currency of the underlying which should be in line with ISO 4217 standards. |
| vega | double ? | Price sensitivity to volatility. |
| next_payment_amount | int ? | The amount that will need to be paid at the next_payment_date. Monetary type represented as a naturally positive integer number of cents/pence. |
| value_date | datetime ? | The timestamp that the derivative was valued. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
