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Merge pull request #27 from actusfrf/dev
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Merge dev into master
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nbundi authored Jun 3, 2020
2 parents d42fda0 + 48338b4 commit 629fb30
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Showing 12 changed files with 2,880 additions and 1,040 deletions.
1 change: 1 addition & 0 deletions .gitignore
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scripts/.Rhistory
42 changes: 21 additions & 21 deletions actus-dictionary-applicability.json
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Expand Up @@ -12,7 +12,7 @@
"endOfMonthConvention": "x",
"contractType": "NN",
"statusDate": "NN(,,1)",
"contractRole": "NN(,,1)",
"contractRole": "NN",
"creatorID": "NN(,,1)",
"contractID": "NN",
"marketObjectCode": "x",
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"lifeFloor": "x(9,1,)",
"periodCap": "x(9,1,)",
"periodFloor": "x(9,1,)",
"fixingDays": "x(9,1,)",
"fixingPeriod": "x(9,1,)",
"nextResetRate": "x(9,1,)",
"rateMultiplier": "x(9,1,)",
"settlementCurrency": "x"
Expand All @@ -86,7 +86,7 @@
"endOfMonthConvention": "x",
"contractType": "NN",
"statusDate": "NN(,,1)",
"contractRole": "NN(,,1)",
"contractRole": "NN",
"creatorID": "NN(,,1)",
"contractID": "NN",
"counterpartyID": "NN(,,2)",
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"cycleOfRateReset": "x(9,0,)",
"rateSpread": "NN(9,1,)",
"marketObjectCodeRateReset": "NN(9,1,)",
"fixingDays": "x(9,1,)",
"fixingPeriod": "x(9,1,)",
"nextResetRate": "x(9,1,)",
"rateMultiplier": "x(9,1,)",
"settlementCurrency": "x"
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"contractDealDate": "NN",
"exerciseDate": "x(7,0,)",
"exerciseAmount": "NN(7,1,)\n",
"settlementDays": "x"
"settlementPeriod": "x"
},
"commodity": {
"contract": "commodity",
"contractType": "NN",
"statusDate": "NN(,,1)",
"contractRole": "NN(,,1)",
"contractRole": "NN",
"creatorID": "NN(,,1)",
"contractID": "NN",
"marketObjectCode": "x",
Expand All @@ -205,7 +205,7 @@
"endOfMonthConvention": "x",
"contractType": "NN",
"statusDate": "NN(,,1)",
"contractRole": "NN(,,1)",
"contractRole": "NN",
"creatorID": "NN(,,1)",
"contractID": "NN",
"marketObjectCode": "x",
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"periodCap": "x(9,1,)",
"periodFloor": "x(9,1,)",
"cyclePointOfRateReset": "x(9,1,)1",
"fixingDays": "x(9,1,)",
"fixingPeriod": "x(9,1,)",
"nextResetRate": "x(9,1,)",
"rateMultiplier": "x(9,1,)",
"settlementCurrency": "x"
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"marketValueObserved": "x",
"exerciseDate": "x(7,0,)",
"exerciseAmount": "NN(7,1,)\n",
"settlementDays": "x",
"settlementPeriod": "x",
"deliverySettlement": "x(,,1)",
"settlementCurrency": "x"
},
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"marketValueObserved": "x",
"exerciseDate": "x(7,0,)",
"exerciseAmount": "NN(7,1,)\n",
"settlementDays": "x",
"settlementPeriod": "x",
"deliverySettlement": "x(,,1)",
"futuresPrice": "NN",
"settlementCurrency": "x"
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"priceAtTerminationDate": "NN(6,1,1)",
"exerciseDate": "x(7,0,)",
"exerciseAmount": "NN(7,1,)\n",
"settlementDays": "x",
"settlementPeriod": "x",
"settlementCurrency": "x"
},
"linearAmortizer": {
Expand All @@ -395,7 +395,7 @@
"endOfMonthConvention": "x",
"contractType": "NN",
"statusDate": "NN(,,1)",
"contractRole": "NN(,,1)",
"contractRole": "NN",
"creatorID": "NN(,,1)",
"contractID": "NN",
"marketObjectCode": "x",
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"periodCap": "x(9,1,)",
"periodFloor": "x(9,1,)",
"cyclePointOfRateReset": "x(9,1,)1",
"fixingDays": "x(9,1,)",
"fixingPeriod": "x(9,1,)",
"nextResetRate": "x(9,1,)",
"rateMultiplier": "x(9,1,)",
"settlementCurrency": "x"
Expand All @@ -470,7 +470,7 @@
"endOfMonthConvention": "x",
"contractType": "NN",
"statusDate": "NN(,,1)",
"contractRole": "NN(,,1)",
"contractRole": "NN",
"creatorID": "NN(,,1)",
"contractID": "NN",
"marketObjectCode": "x",
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"lifeFloor": "x(9,1,)",
"periodCap": "x(9,1,)",
"periodFloor": "x(9,1,)",
"fixingDays": "x(9,1,)",
"fixingPeriod": "x(9,1,)",
"nextResetRate": "x(9,1,)",
"rateMultiplier": "x(9,1,)",
"settlementCurrency": "x"
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"terminationDate": "x(6,0,1)",
"priceAtTerminationDate": "NN(6,1,1)",
"marketValueObserved": "x",
"optionExecutionType": "NN",
"optionExerciseType": "NN",
"optionExerciseEndDate": "NN",
"optionStrike1": "NN",
"optionStrike2": "x",
Expand All @@ -572,7 +572,7 @@
"cycleOfOptionality": "x",
"exerciseDate": "x(7,0,)",
"exerciseAmount": "NN(7,1,)\n",
"settlementDays": "x",
"settlementPeriod": "x",
"deliverySettlement": "x(,,1)",
"settlementCurrency": "x"
},
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"rateSpread": "NN",
"marketObjectCodeRateReset": "NN",
"cyclePointOfRateReset": "x(9,1,)1",
"fixingDays": "x(9,1,)",
"fixingPeriod": "x(9,1,)",
"nextResetRate": "x(9,1,)",
"rateMultiplier": "x(9,1,)",
"deliverySettlement": "x(,,1)",
Expand All @@ -627,7 +627,7 @@
"endOfMonthConvention": "x",
"contractType": "NN",
"statusDate": "NN(,,1)",
"contractRole": "NN(,,1)",
"contractRole": "NN",
"creatorID": "NN(,,1)",
"contractID": "NN",
"marketObjectCode": "x",
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"periodCap": "x(9,1,)",
"periodFloor": "x(9,1,)",
"cyclePointOfRateReset": "x(9,1,)1",
"fixingDays": "x(9,1,)",
"fixingPeriod": "x(9,1,)",
"nextResetRate": "x(9,1,)",
"rateMultiplier": "x(9,1,)",
"settlementCurrency": "x"
Expand All @@ -695,7 +695,7 @@
"endOfMonthConvention": "x",
"contractType": "NN",
"statusDate": "NN(,,1)",
"contractRole": "NN(,,1)",
"contractRole": "NN",
"creatorID": "NN(,,1)",
"contractID": "NN",
"marketObjectCode": "x",
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106 changes: 106 additions & 0 deletions actus-dictionary-contract-reference.json
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{
"version": {
"Version": "1.0",
"Edition": "0",
"Date": "2019-10-23"
},
"contractReference": {
"object": {
"identifier": "object",
"name": "Object",
"acronym": "OBJ",
"description": "The referencing object",
"type": "Varchar",
"allowedValues": []
},
"role": {
"identifier": "role",
"name": "Reference Role",
"acronym": "RRL",
"description": "The role of the referencing object",
"type": "Enum",
"allowedValues": [
{
"option": "0",
"identifier": "underlying",
"name": "Underlying",
"acronym": "UDL",
"description": "The reference represents a simple underlyer contract"
},
{
"option": "1",
"identifier": "firstLeg",
"name": "First Leg",
"acronym": "FIL",
"description": "The reference represents the first leg contract"
},
{
"option": "2",
"identifier": "secondLeg",
"name": "Second Leg",
"acronym": "SEL",
"description": "The reference represents the second leg contract"
},
{
"option": "3",
"identifier": "coveredContract",
"name": "Covered Contract",
"acronym": "COVE",
"description": "The reference represents a contract that is covered under the parent contract"
},
{
"option": "4",
"identifier": "coveringContract",
"name": "Covering Contract",
"acronym": "COVI",
"description": "The reference represents a contract that covers for covering contracts under the parent contract Contract"
}
]
},
"type": {
"identifier": "type",
"name": "Reference Type",
"acronym": "RTP",
"description": "The type of the referencing object",
"type": "Enum",
"allowedValues": [
{
"option": "0",
"identifier": "contract",
"name": "Contract",
"acronym": "CNT",
"description": "The reference represents an actual contract"
},
{
"option": "1",
"identifier": "contractIdentifier",
"name": "Contract Identifier",
"acronym": "CID",
"description": "The reference represents an identifier of an actual contract"
},
{
"option": "2",
"identifier": "marketObjectIdentifier",
"name": "Market Object Identifier",
"acronym": "MOC",
"description": "The reference represents the identifier of a market object"
},
{
"option": "3",
"identifier": "legalEntityIdentifier",
"name": "Legal Entity Identifier",
"acronym": "EID",
"description": "The reference represents the identifier of a legal entity"
},
{
"option": "4",
"identifier": "contractStructure",
"name": "Contract Structure",
"acronym": "CST",
"description": "The reference represents a ContractStructure"
}
]
}
}
}

76 changes: 0 additions & 76 deletions actus-dictionary-contract-structure.json

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