diff --git a/src/systemathics/apis/services/static_data/v1/static_data.proto b/src/systemathics/apis/services/static_data/v1/static_data.proto
index 0914bfc..f482d86 100644
--- a/src/systemathics/apis/services/static_data/v1/static_data.proto
+++ b/src/systemathics/apis/services/static_data/v1/static_data.proto
@@ -187,6 +187,12 @@ message StaticDataRequest
// [Optional] Cds Reference Entity Data (RED) Pair Code
google.protobuf.StringValue cds_red_pair_code = 46;
+
+ // [Optional] Swaption type for option (Payer/Receiver)
+ SwaptionType swaption_type = 47;
+
+ // [Optional] Markit Id for option from OTCStreaming
+ google.protobuf.StringValue markit_id = 48;
}
@@ -884,6 +890,14 @@ message OptionEntry
systemathics.apis.type.shared.v1.OptionType option_type = 9;
// Specific values for the option: The way the option can be exercised: American, European or Bermudan.
ExerciseType exercise_type = 10;
+ // Specific values for the swaption: Indicates whether the swaption is payer or receiver.
+ SwaptionType swaption_type = 11;
+ // Mapping: The Markit id
+ string markit_id = 12;
+ // Mapping: The Financial Instrument Global Identifier (FIGI) is an established global standard of the Object Management Group (www.OMG.org, an international non-profit technology standards consortium founded in 1989) and an identification standard adopted by the American National Committee X9. The FIGI standard is issued and distributed by Bloomberg L.P. as a Registration Authority and Certified Provider under the auspice of OMG. The Financial Instrument Global Identifier (FIGI) is a twelve character, alphanumeric identifier. The first 2 characters are upper-case consonants (including "Y"), the third character is the upper-case "G", characters 4 -11 are any upper-case consonant (including "Y") or integer between 0 and 9, and the last character is a check-digit.
+ string figi = 13;
+ // General information: The calendar code for that instrument.
+ string calendar = 14;
}
// Contains the reference data for bonds.
@@ -1246,6 +1260,7 @@ enum FrequencyType
FREQUENCY_TYPE_BIANNUAL = 8;
}
+
// Contains the option exercise types : Determines when, how, and under what circumstances, the option holder may exercise it.
enum ExerciseType
{
@@ -1511,3 +1526,13 @@ enum DayCount
DAY_COUNT_30M_360 = 997;
}
+
+
+enum SwaptionType
+{
+ SWAPTION_TYPE_UNSPECIFIED = 0;
+
+ SWAPTION_TYPE_PAYER = 1;
+
+ SWAPTION_TYPE_RECEIVER = 2;
+}
diff --git a/src/systemathics/apis/services/static_data/v1/static_data_set.proto b/src/systemathics/apis/services/static_data/v1/static_data_set.proto
new file mode 100644
index 0000000..e357fa9
--- /dev/null
+++ b/src/systemathics/apis/services/static_data/v1/static_data_set.proto
@@ -0,0 +1,71 @@
+// Copyright (c) 2021 Systemathics
+//
+// Permission is hereby granted, free of charge, to any person obtaining a copy
+// of this software and associated documentation files (the "Software"), to deal
+// in the Software without restriction, including without limitation the rights
+// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+// copies of the Software, and to permit persons to whom the Software is
+// furnished to do so, subject to the following conditions:
+//
+// The above copyright notice and this permission notice shall be included in all
+// copies or substantial portions of the Software.
+//
+// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+// SOFTWARE.
+
+// Reference data encompasses a wide range of specification data about:
+//
- financial instrument such as asset class, symbol, maturity, etc.
+//
- counterparties such as issuer information.
+//
- pricing such as open, high low and close prices.
+//
- The challenge with reference data is that it tends to be sourced from multiple sources: internal, counterparties and providers.
+//
- Reference data dedicated service is a result of various data sources and fields sourcing, validation, cross-checking and normalization.
+syntax = "proto3";
+
+
+import "google/api/annotations.proto";
+import "google/type/date.proto";
+import "google/protobuf/empty.proto";
+
+import "systemathics/apis/services/static_data/v1/static_data.proto";
+
+package systemathics.apis.services.static_data.v1;
+
+// Called to request reference data.
+service StaticDataSetService
+{
+ // Gets reference data
+ rpc CreateStaticDataOtcStreaming(StaticDataOtcStreamingRequest) returns (google.protobuf.Empty)
+ {
+ option (google.api.http) = {
+ get: "/v1/staticdata/otc_streaming"
+ };
+ }
+}
+
+message StaticDataOtcStreamingRequest
+{
+ string ticker = 1;
+
+ string provider = 2;
+
+ double strike = 3;
+
+ SwaptionType swaption_type = 4;
+
+ google.type.Date expiry = 5;
+
+ string underlying_ticker = 6;
+
+ string currency = 7;
+
+ string markit_id = 8;
+
+ string figi = 9;
+
+ string calendar = 10;
+}