- PAM : ContractType
- LAM : ContractType
- NAM : ContractType
- ANN : ContractType
- STK : ContractType
- OPTNS : ContractType
- FUTUR : ContractType
- COM : ContractType
- CSH : ContractType
- FXOUT : ContractType
- UMP : ContractType
- CAPFL : ContractType
- LAX : ContractType
- CLM : ContractType
- SWPPV : ContractType
- SWAPS : ContractType
- CEG : ContractType
- CEC : ContractType
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@[implicit_reducible]
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@[implicit_reducible]
- CR_RPA : ContractRole
- CR_RPL : ContractRole
- CR_CLO : ContractRole
- CR_CNO : ContractRole
- CR_COL : ContractRole
- CR_LG : ContractRole
- CR_ST : ContractRole
- CR_BUY : ContractRole
- CR_SEL : ContractRole
- CR_RFL : ContractRole
- CR_PFL : ContractRole
- CR_RF : ContractRole
- CR_PF : ContractRole
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@[implicit_reducible]
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@[implicit_reducible]
- DCC_A_AISDA : DayCountConvention
- DCC_A_360 : DayCountConvention
- DCC_A_365 : DayCountConvention
- DCC_E30_360ISDA : DayCountConvention
- DCC_E30_360 : DayCountConvention
- DCC_B_252 : DayCountConvention
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@[implicit_reducible]
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@[implicit_reducible]
- EOMC_EOM : EndOfMonthConvention
- EOMC_SD : EndOfMonthConvention
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@[implicit_reducible]
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@[implicit_reducible]
- BDC_NULL : BusinessDayConvention
- BDC_SCF : BusinessDayConvention
- BDC_SCMF : BusinessDayConvention
- BDC_CSF : BusinessDayConvention
- BDC_CSMF : BusinessDayConvention
- BDC_SCP : BusinessDayConvention
- BDC_SCMP : BusinessDayConvention
- BDC_CSP : BusinessDayConvention
- BDC_CSMP : BusinessDayConvention
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@[implicit_reducible]
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@[implicit_reducible]
@[implicit_reducible]
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@[implicit_reducible]
- endOfMonthConvention : Option EndOfMonthConvention
- businessDayConvention : Option BusinessDayConvention
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@[implicit_reducible]
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- PRF_PF : Performance
- PRF_DL : Performance
- PRF_DQ : Performance
- PRF_DF : Performance
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@[implicit_reducible]
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@[implicit_reducible]
- CETC_DL : CreditEventTypeCovered
- CETC_DQ : CreditEventTypeCovered
- CETC_DF : CreditEventTypeCovered
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@[implicit_reducible]
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@[implicit_reducible]
- CEGE_NO : CreditEventGuaranteedExposure
- CEGE_NI : CreditEventGuaranteedExposure
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@[implicit_reducible]
@[implicit_reducible]
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@[implicit_reducible]
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@[implicit_reducible]
- IPCB_NT : InterestCalculationBase
- IPCB_NTIED : InterestCalculationBase
- IPCB_NTL : InterestCalculationBase
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@[implicit_reducible]
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@[implicit_reducible]
- SE_OOO : ScalingEffect
- SE_IOO : ScalingEffect
- SE_ONO : ScalingEffect
- SE_OOM : ScalingEffect
- SE_INO : ScalingEffect
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@[implicit_reducible]
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@[implicit_reducible]
- PYTP_A : PenaltyType
- PYTP_N : PenaltyType
- PYTP_I : PenaltyType
- PYTP_O : PenaltyType
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@[implicit_reducible]
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@[implicit_reducible]
- PPEF_N : PrepaymentEffect
- PPEF_A : PrepaymentEffect
- PPEF_M : PrepaymentEffect
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@[implicit_reducible]
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@[implicit_reducible]
- DS_S : DeliverySettlement
- DS_D : DeliverySettlement
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@[implicit_reducible]
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@[implicit_reducible]
- OBJC_A : ObjectCodeCollateral
- OBJC_N : ObjectCodeCollateral
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@[implicit_reducible]
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@[implicit_reducible]
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@[implicit_reducible]
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@[implicit_reducible]
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- Actus.Protocol.instReprCycle = { reprPrec := Actus.Protocol.instReprCycle.repr }
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@[implicit_reducible]
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- FIL : ReferenceRole
- SEL : ReferenceRole
- MOC : ReferenceRole
- UDL : ReferenceRole
- COVE : ReferenceRole
- COVI : ReferenceRole
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@[implicit_reducible]
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@[implicit_reducible]
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- mk {α : Type} : Reference α → ReferenceRole → ContractType → ContractStructure α
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- contractId : String
- contractType : ContractType
- contractRole : ContractRole
- dayCountConvention : Option DayCountConvention
- scheduleConfig : ScheduleConfig
- statusDate : LocalTime
- contractPerformance : Option Performance
- creditEventTypeCovered : Option CreditEventTypeCovered
- coverageOfCreditEnhancement : Option α
- guaranteedExposure : Option CreditEventGuaranteedExposure
- feeAccrued : Option α
- feeRate : Option α
- accruedInterest : Option α
- interestCalculationBase : Option InterestCalculationBase
- interestCalculationBaseA : Option α
- nominalInterestRate : Option α
- nominalInterestRate2 : Option α
- interestScalingMultiplier : Option α
- notionalPrincipal : Option α
- notionalPrincipal2 : Option α
- nextPrincipalRedemptionPayment : Option α
- priceAtPurchaseDate : Option α
- priceAtTerminationDate : Option α
- quantity : Option α
- scalingIndexAtStatusDate : Option α
- scalingEffect : Option ScalingEffect
- scalingIndexAtContractDealDate : Option α
- notionalScalingMultiplier : Option α
- optionStrike1 : Option α
- exerciseAmount : Option α
- futuresPrice : Option α
- penaltyRate : Option α
- penaltyType : Option PenaltyType
- prepaymentEffect : Option PrepaymentEffect
- nextResetRate : Option α
- rateSpread : Option α
- rateMultiplier : Option α
- periodFloor : Option α
- periodCap : Option α
- lifeCap : Option α
- lifeFloor : Option α
- nextDividendPaymentAmount : Option α
- contractStructure : Option (List (ContractStructure α))
- enableSettlement : Bool
Instances For
- AD : EventType
- IED : EventType
- FP : EventType
- PR : EventType
- PD : EventType
- PRD : EventType
- TD : EventType
- IP : EventType
- IPCI : EventType
- IPCB : EventType
- RR : EventType
- RRF : EventType
- DV : EventType
- PRF : EventType
- PY : EventType
- PP : EventType
- CD : EventType
- STD : EventType
- MD : EventType
- XD : EventType
- SC : EventType
- CE : EventType
- PI : EventType
- IPFX : EventType
- IPFL : EventType
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@[implicit_reducible]
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@[implicit_reducible]
Priority for intra-timestamp event ordering (lower = processed first).
Order derived from the ACTUS reference event sequences: in particular
PR < IP, IP before rate resets / scaling / IPCB, and interest (IP)
before contract-closing events (PRD, TD, MD) so it accrues on the full
notional before the contract is purchased/terminated/matured.
Equations
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.AD = 0
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.IED = 1
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.FP = 2
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.PR = 3
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.PD = 4
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.IPCI = 5
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.IP = 6
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.RRF = 7
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.RR = 8
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.IPCB = 9
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.SC = 10
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.PRF = 11
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.PY = 12
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.PP = 13
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.DV = 14
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.CD = 15
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.STD = 16
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.PRD = 17
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.TD = 18
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.XD = 19
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.MD = 20
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.CE = 21
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.PI = 22
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.IPFX = 23
- Actus.Protocol.eventTypePriority Actus.Protocol.EventType.IPFL = 24
Instances For
String representation of an event type.
Equations
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.AD = "AD"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.IED = "IED"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.FP = "FP"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.PR = "PR"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.PD = "PD"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.PRD = "PRD"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.TD = "TD"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.IP = "IP"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.IPCI = "IPCI"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.IPCB = "IPCB"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.RR = "RR"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.RRF = "RRF"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.DV = "DV"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.PRF = "PRF"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.PY = "PY"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.PP = "PP"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.CD = "CD"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.STD = "STD"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.MD = "MD"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.XD = "XD"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.SC = "SC"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.CE = "CE"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.PI = "PI"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.IPFX = "IPFX"
- Actus.Protocol.eventTypeToString Actus.Protocol.EventType.IPFL = "IPFL"
Instances For
- CURS : Float → RiskFactor
- XXXX : Float → RiskFactor
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@[implicit_reducible]
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@[reducible, inline]
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@[reducible, inline]
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@[reducible, inline]
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@[reducible, inline]