{"openapi":"3.0.4","info":{"title":"CdsIndex","version":"0.0.1"},"paths":{},"components":{"schemas":{"CdsIndex":{"description":"LUSID representation of a Credit Default Swap Index (CDX).\r\n            \r\nThis instrument has multiple legs, to see how legs are used in LUSID see [knowledge base article KA-02252](https://support.lusid.com/knowledgebase/article/KA-02252).\r\n            \r\n| Leg Index | Leg Identifier | Description |\r\n| --------- | -------------- | ----------- |\r\n| 1 | ProtectionLeg | Payments made by the protection seller in the case of default across all CDS instruments in the index. |\r\n| 2 | PremiumLeg | The premium payments made by the protection buyer across all CDS instruments in the index. |\r\n| 3 | AdditionalPayments | Cash flows relating to any additional payments (optional). |","required":["couponRate","identifiers","instrumentType","maturityDate","notional","startDate"],"type":"object","properties":{"startDate":{"type":"string","description":"The start date of the instrument. This is normally synonymous with the trade-date.","format":"date-time"},"maturityDate":{"type":"string","description":"The final maturity date of the instrument. This means the last date on which the instruments makes a payment of any amount.\r\nFor the avoidance of doubt, that is not necessarily prior to its last sensitivity date for the purposes of risk; e.g. instruments such as\r\nConstant Maturity Swaps (CMS) often have sensitivities to rates that may well be observed or set prior to the maturity date, but refer to a termination date beyond it.","format":"date-time"},"flowConventions":{"$ref":"/docs/api/lusid/schemas.json#/components/schemas/CdsFlowConventions"},"couponRate":{"type":"number","description":"The coupon rate paid on each payment date of the premium leg as a fraction of 100 percent, e.g. \"0.05\" meaning 500 basis points or 5%.\r\nFor a standard corporate CDS (North American) this must be either 100bps or 500bps.","format":"double"},"identifiers":{"type":"object","additionalProperties":{"type":"string","nullable":true},"description":"External market codes and identifiers for the cds index, e.g. a RED code, BBG ID or ICE code."},"basket":{"$ref":"/docs/api/lusid/schemas.json#/components/schemas/Basket"},"conventionName":{"$ref":"/docs/api/lusid/schemas.json#/components/schemas/FlowConventionName"},"notional":{"type":"number","description":"The notional quantity that applies to both the premium and protection legs.","format":"double"},"isNonStandard":{"type":"boolean","description":"By default IsNonStandard is false, and the contract follows the IMM convention: the roll and payment\r\nfrequencies must be 3M or 6M, and the start and maturity dates are rolled onto IMM dates\r\n(the 20th of March, June, September or December).\r\nIf IsNonStandard=true, the premium schedule uses the stated start and maturity dates and any payment\r\nfrequency is accepted. The payment dates roll back from the maturity, so a term that is not a whole\r\nnumber of payment periods has a short first period."},"additionalPayments":{"type":"array","items":{"$ref":"/docs/api/lusid/schemas.json#/components/schemas/AdditionalPayment"},"description":"Optional additional payments at a given date e.g. to level off an uneven swap.\r\nThe dates must be distinct and either all payments are Pay or all payments are Receive.","nullable":true},"timeZoneConventions":{"$ref":"/docs/api/lusid/schemas.json#/components/schemas/TimeZoneConventions"},"instrumentType":{"type":"string","enum":["CdsIndex"]}},"title":"CdsIndex"}}}}