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Contract Type

Contract Type​

Acronym: CT
Identifier: contractType
Group: Contract identification
Type: Enum
Default: ``

Description​

The ContractType is the most important information. It defines the cash flow generating pattern of a contract. The ContractType information in combination with a given state of the risk factors will produce a deterministic sequence of cash flows which are the basis of any financial analysis.

Allowed Values​

  • Principal at Maturity (PAM) (principalAtMaturity / 0): Lending agreements with full amortization at maturity.
  • Annuity (ANN) (annuity / 1): Lending agreements with fixed periodic payments consisting of an interest and principal portion. The periodic payments are adjusted for variable rate instruments such that maturity remains fixed.
  • Negative Amortizer (NAM) (negativeAmortizer / 2): Lending agreements with fixed periodic payments consisting of an interest and principal portion. Maturity changes for variable rate instruments.
  • Linear Amortizer (LAM) (linearAmortizer / 3): Lending agreements with fixed principal repayment amounts and variable interest payments.
  • Exotic Linear Amortizer (LAX) (exoticLinearAmortizer / 4): Lending agreements with exotic repayment schedules.
  • Call Money (CLM) (callMoney / 5): Lonas that are rolled over as long as they are not called. Once called it has to be paid back after the stipulated notice period.
  • Undefined Maturity Profile (UMP) (undefinedMaturityProfile / 6): Interest paying cash accounts (current / savings / etc.).
  • Cash (CSH) (cash / 7): Represents cash holdings.
  • Stock (STK) (stock / 8): Represents stocks/shares/equity.
  • Commodity (COM) (commodity / 9): Represents commodities.
  • Swap (SWAPS) (swap / 10): An agreement of swapping two legs such as fixed against variable or currency 1 against currency 2 etc.
  • Plain Vanilla Swap (SWPPV) (plainVanillaSwap / 11): Plain vanilla interest rate swaps.
  • Foreign Exchange Outright (FXOUT) (foreignExchangeOutright / 12): An agreement of swapping two cash flows in different currencies at a future point in time.
  • Cap and Floor (CAPFL) (capFloor / 13): An agreement of paying the differential (cap or floor) of a reference rate versus a fixed rate.
  • Future (FUTUR) (future / 14): An agreement of exchanging an underlying instrument against a fixed price in the future.
  • Option (OPTNS) (option / 15): Different types of options on buying an underlying instrument at a fixed price in the future.
  • Credit Enhancement Guarantee (CEG) (creditEnhancementGuarantee / 16): A guarantee / letter of credit by a third party on the scheduled payment obligations of an underlying instrument
  • Credit Enhancement Collateral (CEC) (creditEnhancementCollateral / 17): A collateral securing the scheduled payment obligations of an underlying instrument