NSD’s trade repository messages specifications
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Monthly Statistic
QuotedAssetSet
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Type
Description
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Properties
Conditions
instrumentSet
InstrumentSet
0-1
assetQuote
BasicAssetValuation
0-∞
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QuotedAssetSet
instrumentSet
(InstrumentSet)
Selecting one of variants:
underlyingAsset
(Asset)
Is substituted by one of the elements:
basket
bond
commodity
equity
index
Define the underlying asset, either a listed security or other instrument.
assetQuote
(BasicAssetValuation)
objectReference
(AnyAssetReference)
valuationScenarioReference
(ValuationScenarioReference)
quote
(BasicQuotation)
value
(decimal)
measureType
(AssetMeasureType)
The type of the value that is measured. This could be an NPV, a cash flow, a clean price, etc.
quoteUnits
(PriceQuoteUnits)
The optional units that the measure is expressed in. If not supplied, this is assumed to be a price/value in currency units.
side
(QuotationSideEnum)
The side (bid/mid/ask) of the measure.
Bid;Ask;Mid;
currency
(Currency)
The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.
currencyType
(ReportingCurrencyType)
The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.
timing
(QuoteTiming)
When during a day the quote is for. Typically, if this element is supplied, the QuoteLocation needs also to be supplied.
Selecting one of variants:
businessCenter
(BusinessCenter)
A city or other business center.
exchangeId
(ExchangeId)
The exchange (e.g. stock or futures exchange) from which the quote is obtained.
informationSource
(InformationSource)
The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.
rateSource
(InformationProvider)
An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.
pricingModel
(PricingModel)
Defines the types of pricing model used to evaluate the price of an asset.
time
(dateTime)
When the quote was observed or when a calculated value was generated.
valuationDate
(date)
When the quote was computed.
expiryTime
(dateTime)
When does the quote cease to be valid.
cashflowType
(CashflowType)
For cash flows, the type of the cash flows. Examples include: Coupon payment, Premium Fee, Settlement Fee, Brokerage Fee, etc.