{"openapi":"3.0.4","info":{"title":"InterestRateSwap","version":"0.0.1"},"paths":{},"components":{"schemas":{"InterestRateSwap":{"description":"LUSID representation of an Interest Rate Swap, including:\r\n\r\n  * Vanilla (single currency fixed-float non-amortising)\r\n  * CrossCurrency (>1 currency is used by the swap legs)\r\n  * Basis (single currency, floating-floating legs of different tenors)\r\n  * Amortising (the swap has 1+ leg with amortised notional)\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 | Pay/Receive | Cash flows representing the pay/receive leg. |\r\n| 2 | Receive/Pay | Cash flows representing the receive/pay leg. |\r\n| 3 | AdditionalPayments | Cash flows relating to any additional payments (optional). |","required":["instrumentType","legs","maturityDate","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"},"isNonDeliverable":{"type":"boolean","description":"Is the contract an IRS of \"Non-Deliverable\" type, meaning a single payment in the settlement currency based on the difference between\r\nthe fixed and floating rates.\r\nDefaults to false if not set."},"legs":{"type":"array","items":{"$ref":"/docs/api/lusid/schemas.json#/components/schemas/InstrumentLeg"},"description":"The set of instrument legs that define the swap instrument, these should be FloatingLeg or FixedLeg."},"settlementCcy":{"type":"string","description":"Settlement currency if IRS is non-deliverable.","nullable":true},"additionalPayments":{"type":"array","items":{"$ref":"/docs/api/lusid/schemas.json#/components/schemas/AdditionalPayment"},"description":"Optional additional payments at a given date e.g. to level off an uneven fixed-floating 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":["InterestRateSwap"]}},"title":"InterestRateSwap"}}}}