Add underlying index and underlying tenor (#70)

* added cap and floor to derivative type

* added last_exercise_date

* removed comments

* added underlying_index and underlying_tenor properties

* added underlying_index and underlying_tenor properties

* added inflation as a sub asset-class to ir

Co-authored-by: Guy Gschwendtner <guy@suade.org>

documentation/properties/asset_class.md

@@ -28,6 +28,7 @@ Primary asset classes are Equities, Rates, Credit, Commodities and Foreign Excha
 │   └── eq_single
 ├── fx
 ├── ir
+│   └── inflation
 ├── energy
 │   ├── oil
 │   ├── gas

documentation/properties/underlying_currency_code.md

@@ -11,5 +11,5 @@ schemas:    [derivative]
 The **underlying_currency_code** is used to reference an additional currency in a derivative transaction.
 It is particularly relevant for FX Options.
 For example, on a long EURUSD call option the relevant currency fields on the derivative schema would be:
-* currency_code = "EUR": the currency sold if the option is exercised
-* underlying_currency_code = "USD": the currency bought if the option is exercised
+* currency_code = "EUR": the currency bought if the option is exercised
+* underlying_currency_code = "USD": the currency sold if the option is exercised

documentation/properties/underlying_index.md

@@ -0,0 +1,15 @@
+---
+layout:     property
+title:      "underlying_index"
+schemas:    [derivative]
+---
+
+# underlying_index
+The name of a derivative contract underlying which can be used for all derivative asset classes:
+- interest rate: a floating rate index: Libor, Euribor, Eonia. The designated maturity for the interest rate index can be entered in the underlying_index_tenor property.
+- credit: a credit index such as CDX NA Investment Grade, iTraxx Europe
+- equity: an equity index such as S&P500, FTSE100, EUROSTOXX50, etc.
+
+---
+
+# derivative

documentation/properties/underlying_index_tenor.md

@@ -0,0 +1,12 @@
+---
+layout:     property
+title:      "underlying_index_tenor"
+schemas:    [derivative]
+---
+
+# underlying_index_tenor
+The **underlying_index_tenor** refers to the designated maturity of the underlying interest rate used in the underlying_index property for interest rate derivatives. It can be one of the following enums:
+- 1d, 1m, 2m, 3m, 6m, 12m
+
+
+# derivative

v1-dev/common.json

@@ -22,7 +22,7 @@
       "cr", "cr_index", "cr_single",
       "eq", "eq_index", "eq_single",
       "fx",
-      "ir",
+      "ir", "inflation",
       "co", "energy", "oil", "gas", "coal", "electricity",
         "metals", "precious_metals", "silver", "gold", "platinum", "palladium",
         "agri", "sugar", "coffee", "corn",

v1-dev/derivative.json

@@ -268,6 +268,15 @@
       "description": "The unique identifier used by the financial institution to identify the underlying reference derivative for this derivative.",
       "type": "string"
     },
+    "underlying_index": {
+      "description": "The name of a derivative contract underlying which can be used for all derivative asset classes (e.g. interest rate index, credit index, equity index",
+      "type": "string"
+    },
+    "underlying_index_tenor": {
+      "description": "The designated maturity of the underlying interest rate index used in the underlying_index property for interest rate derivatives",
+      "type": "string",
+      "enum": ["1d", "1m", "2m", "3m", "6m", "12m"]
+   },
     "underlying_issuer_id": {
       "description": "The unique identifier used by the financial institution to identify the underlying reference issuer for this derivative.",
       "type": "string"