Strata

Trade loader for Term Deposits

This page details the Strata CSV format for loading Term Deposits. See the overview page for details of other assets classes.

Trade loader file format

The trades file is a CSV-formatted file. The columns may be specified in any order. The CSV format is flexible, and the input can specify trades in various ways.

Term Deposits can be specified using two different column sets - by convention and by full details. The two column sets can be mixed in the same file. In addition, a single file can contain other asset classes, such as Swaps or FX. Just add the union of the column headers and fill in the necessary data on a row by row basis.

Example

This example file specifies a Term Deposit trade by convention.

Strata Trade Type, Id Scheme, Id,     Trade Date, Convention,     Buy Sell, Tenor, Notional, Fixed Rate
TermDeposit,       OG,        123401, 2017-06-01, GBP-Deposit-T0, Buy,      P7D,   1000000,  0.5

Note that Microsoft Excel prefers the CSV file to have no spaces after the comma.

Term Deposit by convention

These columns are used when loading a Term Deposit trade by convention. See also the overview page for additional optional columns that can be used to specify the identifier and counterparty.

Column name Mandatory? Description
Strata Trade Type Mandatory The type of the trade, “TermDeposit” or “Term Deposit”, case insensitive
Start Date Conditional The unadjusted start date, such as “2017-06-01”, see accepted formats
End Date Conditional The unadjusted end date, such as “2017-09-01”, see accepted formats
Tenor Conditional The tenor of the instrument, such as “P2M” or “2M”, see accepted formats
Convention Mandatory The convention, such as “GBP-Deposit-T0”
Buy Sell Mandatory Whether the deposit is “Buy” or “Sell”
Notional Mandatory The notional amount, currency defined by the convention
Fixed Rate Mandatory The fixed rate, as a percentage, such as “1.2” for 1.2%
Date Convention Optional The business day convention, such as “Following” or “ModifiedFollowing”
Date Calendar Optional The holiday calendar to use, such as “GBLO”

Valid combinations of conditional fields are as follows (other combinations are not allowed):

  • “Start Date” and “End Date”
  • “Trade Date” and “Tenor”

Term Deposit by full details

These columns are used when loading a Term Deposit trade by full details. See also the overview page for additional optional columns that can be used to specify the identifier and counterparty.

Column name Mandatory? Description
Strata Trade Type Mandatory The type of the trade, “TermDeposit” or “Term Deposit”, case insensitive
Start Date Mandatory The unadjusted start date, such as “2017-06-01”, see accepted formats
End Date Mandatory The unadjusted end date, such as “2017-09-01”, see accepted formats
Buy Sell Mandatory Whether the trade is “Buy” or “Sell”
Currency Mandatory The deposit currency, such as “GBP”
Notional Mandatory The notional amount, currency defined by the index
Fixed Rate Mandatory The fixed rate, as a percentage, such as “1.2” for 1.2%
Day Count Mandatory The day count convention, such as “Act/360”
Date Convention Optional The business day convention, such as “Following” or “ModifiedFollowing”
Date Calendar Optional The holiday calendar to use, such as “GBLO”