Description

Type: int

Code to represent price type requested in Quote.

If the QuoteRequest <R> is for a Swap values 1-8 apply to all legs.

Valid values:

  • 1 = Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
  • 2 = Per unit (i.e. per share or contract)
  • 3 = Fixed Amount (absolute value)
  • 4 = Discount - percentage points below par
  • 5 = Premium - percentage points over par
  • 6 = Spread (basis points relative to benchmark)

    Usually the difference in yield between two switched bonds or a corporate bond traded spread-to-benchmark.

  • 7 = TED Price
  • 8 = TED Yield
  • 9 = Yield Spread (swaps)
  • 10 = Yield
  • 12 = Price spread

    Price spread is expressed based on market convention for the asset being priced or traded. For example: the difference between the prices of a multileg switch or strategy expressed in basis points for a CDS or TBA roll; a price value to be added to a reference price, such as a "pay up" for specified pools.

  • 13 = Product ticks in halves
  • 14 = Product ticks in fourths
  • 15 = Product ticks in eighths
  • 16 = Product ticks in sixteenths
  • 17 = Product ticks in thirty-seconds
  • 18 = Product ticks in sixty-fourths
  • 19 = Product ticks in one-twenty-eighths
  • 20 = Normal rate representation (e.g. FX rate)
  • 21 = Inverse rate representation (e.g. FX rate)
  • 22 = Basis points

    When the price is not spread based

  • 23 = Up front points

    Used specifically for CDS pricing.

  • 24 = Interest rate

    When the price is an interest rate. For example, used with benchmark reference rate.

  • 25 = Percentage of notional

Used In