Interest Rate Swaps¶
Format¶
SWAP:<COUNTRY> <MATURITY DATE> <P>|<R><SPREAD>
Examples¶
| Symbol |
|---|
SWAP:US 20101210 P7.5 |
SWAP:US 20220410 R4.5 |
Not real swaps. Used for illustrative purposes.
Fields¶
| Parameter | Description |
|---|---|
<COUNTRY> |
ISO code for the issuer government (US only) |
<MATURITY DATE> |
String in YYYYMMDD format indicating the maturity date for the swap |
<P>\|<R> |
P indicates a payer swap (pay fixed / receive floating); R indicates a receiver swap (receive fixed / pay floating) |
<SPREAD> |
The spread of the swap in percent |