Factset Derivative API

openapi: 3.2.0
info:
  title: FactSet Securitized Derivatives API for Digital Portals Derivative API
  description: '

    Fundamental data for a single securitized derivative. Notation-based key

    figures of a securitized derivative.'
  version: '2'
servers:
- url: https://api.factset.com/wealth/v1
security:
- Basic: []
tags:
- name: Derivative
paths:
  /securitizedDerivative/get:
    get:
      tags:
      - Derivative
      operationId: get/securitizedDerivative/get
      x-supportsOffsetBasedPaging: false
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 10
      x-supportsPermissionDeniedResponse: false
      summary: Factset Fundamental Data for a Single Securitized Derivative.
      description: Fundamental data for a single securitized derivative. Dates are interpreted in the timezone of the issuer.
      parameters:
      - name: id
        in: query
        schema:
          type: string
          format: id64
          x-positive: true
          description: Identifier of the instrument.
        required: true
      - name: _attributes
        in: query
        schema:
          type: array
          items:
            type: string
            maxLength: 100
          uniqueItems: true
          maxItems: 50
        style: form
        explode: false
        description: Limit the attributes returned in the response to the specified set.
      - name: _language
        in: query
        schema:
          type: string
          format: isoLanguage
          description: ISO 639-1 code of the language.
          maxLength: 2
          minLength: 2
      responses:
        '200':
          $ref: '#/components/responses/GetSecuritizedDerivativeGet200Response'
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
  /securitizedDerivative/issuer/search:
    post:
      tags:
      - Derivative
      operationId: post/securitizedDerivative/issuer/search
      x-supportsOffsetBasedPaging: false
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 10
      x-supportsPermissionDeniedResponse: false
      summary: Factset Search for Issuers of Securitized Derivatives.
      description: Search for issuers of securitized derivatives, including issuer groups, which do not represent actual juristic persons, but are defined by FactSet to facilitate searching. FactSet does not consolidate the data provided by different suppliers, therefore the result may contain more than one identifier for a given issuer. The response is limited to 100 results.
      requestBody:
        content:
          application/json:
            schema:
              $ref: '#/components/schemas/PostSecuritizedDerivativeIssuerSearchRequest'
      responses:
        '200':
          $ref: '#/components/responses/PostSecuritizedDerivativeIssuerSearch200Response'
      parameters: []
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
  /securitizedDerivative/keyFigures/notation/get:
    get:
      tags:
      - Derivative
      operationId: get/securitizedDerivative/keyFigures/notation/get
      x-supportsOffsetBasedPaging: false
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 10
      x-supportsPermissionDeniedResponse: false
      summary: Factset Notation-based Key Figures of a Securitized Derivative.
      description: "Notation-based key figures of a securitized derivative. Not all key figures are applicable and/or calculated for all types of securitized derivatives. Following, some frequently used references: \n\nCover ratio - see attribute `underlyings.coverRatio` in endpoint `/securitizedDerivative/underlying/list`.\n\nVarious barrier types (e.g. strike, knock in) - see endpoint `/securitizedDerivative/barrier/type/list`.\n\nExercise right - see attribute `exercise.right` in endpoint `/securitizedDerivative/get`.\n\nIssue price - see attribute `issue.price` in endpoint `/securitizedDerivative/get`.\n\nAsk price - see attribute `prices.ask`.\n\nBid price - see attribute `prices.bid`."
      parameters:
      - name: id
        in: query
        schema:
          type: string
          format: id64
          x-positive: true
          description: Identifier of a notation.
        required: true
      - name: _attributes
        in: query
        schema:
          type: array
          items:
            type: string
            maxLength: 100
          uniqueItems: true
          maxItems: 50
        style: form
        explode: false
        description: Limit the attributes returned in the response to the specified set.
      - name: _language
        in: query
        schema:
          type: string
          format: isoLanguage
          description: ISO 639-1 code of the language.
          maxLength: 2
          minLength: 2
      responses:
        '200':
          $ref: '#/components/responses/GetSecuritizedDerivativeKeyFiguresNotationGet200Response'
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
  /securitizedDerivative/notation/ranking/intraday/list:
    post:
      tags:
      - Derivative
      operationId: post/securitizedDerivative/notation/ranking/intraday/list
      x-supportsOffsetBasedPaging: true
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 5
      x-supportsPermissionDeniedResponse: false
      summary: Factset Ranking of Securitized Derivatives' Notations Using Intraday Figures.
      description: 'Ranking of securitized derivatives'' notations using intraday figures. The result is limited to 100 notations that all must satisfy all selected filters. If more than one notation of an instrument matches the parameters, and no market priority has been specified, the selection of the notation depends on the sort attribute:

        - absolute and relative performance (see the response attributes `trade.performance.absolute` and `trade.performance.relative`) - the notation with the most recent trade price is used

        - number trades, trading value and trading volume (see the response attributes `accumulated.numberTrades`, `accumulated.tradingVolume` and `accumulated.tradingValue`) - the notation with highest (lowest) value is used


        By default, the result is sorted descending by the relative intraday performance corresponding to the most recent trade price, see attribute `trade.performance.relative`. The result may contain sortable values based on different currencies, possibly making the ranking nonsensical, if the parameters `valueUnit` and/or `currency` have not been specified.


        The search can be restricted to a specific set of products by using customer-specific instrument or notation lists. Such restriction lists are set up by FactSet upon request.


        All identifiers used as parameters must be valid and entitled.'
      requestBody:
        content:
          application/json:
            schema:
              $ref: '#/components/schemas/PostSecuritizedDerivativeNotationRankingIntradayListRequest'
      responses:
        '200':
          $ref: '#/components/responses/PostSecuritizedDerivativeNotationRankingIntradayList200Response'
      parameters: []
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
  /securitizedDerivative/notation/screener/valueRanges/get:
    post:
      tags:
      - Derivative
      operationId: post/securitizedDerivative/notation/screener/valueRanges/get
      x-supportsOffsetBasedPaging: false
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 10
      x-supportsPermissionDeniedResponse: false
      summary: Factset Possible Values and Value Ranges for the Parameters Used in the Endpoint `/securitizedderivative/notation/screener/search`.
      description: "The endpoint returns the possible values and value ranges for the parameters used in the endpoint `/securitizedDerivatives/notation/screener/search`. It allows to request the values and value ranges only for a restricted set of notations that match predefined parameters. If more than one notation of an instrument matches the parameters, and no market priority has been specified, only the notation with the highest trading volume, averaged over one month, is considered. The functionality may be used to pre-fill the values and value ranges of the parameters of the `/securitizedDerivatives/notation/screener/search` endpoint so that performing a search always leads to a non-empty list of notations. Lists of distinct values, e.g. identifiers, are sorted descending by the number of notations for each value.\n\n Since some underlyings, e.g. an index or a performance difference of a stock and an index (alpha structure), do not represent a directly tradable asset, they do not have a price in the classical\nsense. Therefore, the term \"level\" is used instead of \"price\", e.g. underlying level instead of underlying price.\n\n The endpoint does not support possible values and value ranges for securitized derivatives with multiple underlyings, thus only securitized derivatives with a single underlying are considered.\n\n The possible values and value ranges can be restricted to a specific set of products by using customer-specific instrument or notation lists. Such restriction lists are set up by FactSet upon request."
      requestBody:
        content:
          application/json:
            schema:
              $ref: '#/components/schemas/PostSecuritizedDerivativeNotationScreenerValueRangesGetRequest'
      responses:
        '200':
          $ref: '#/components/responses/PostSecuritizedDerivativeNotationScreenerValueRangesGet200Response'
      parameters: []
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
  /securitizedDerivative/notation/screener/search:
    post:
      tags:
      - Derivative
      operationId: post/securitizedDerivative/notation/screener/search
      x-supportsOffsetBasedPaging: true
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 10
      x-supportsPermissionDeniedResponse: false
      summary: Factset Screener for Securitized Derivatives's Notations Based on Securitized Derivatives-specific Parameters.
      description: "Screener for securitized derivatives's notations based on securitized derivatives-specific parameters. The result is limited to the notations that satisfy all the selected filters. If more than one notation of an instrument matches the parameters, and no market priority has been specified, only the notation with the highest trading volume, averaged over one month, is considered. All identifiers used as parameters must be valid and entitled.\n\n Since some underlyings, e.g. an index or a performance difference of a stock and an index (alpha structure), do not represent a directly tradable asset, they do not have a price in the classical\nsense. Therefore, the term \"level\" is used instead of \"price\", e.g. underlying level instead of underlying price.\n\n The endpoint does not support the search for securitized derivatives with multiple underlyings, thus only securitized derivatives with a single underlying are returned in the result.\n\n The search can be restricted to a specific set of products by using customer-specific instrument or notation lists. Such restriction lists are set up by FactSet upon request."
      requestBody:
        content:
          application/json:
            schema:
              $ref: '#/components/schemas/PostSecuritizedDerivativeNotationScreenerSearchRequest'
      responses:
        '200':
          $ref: '#/components/responses/PostSecuritizedDerivativeNotationScreenerSearch200Response'
      parameters: []
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
  /securitizedDerivative/underlying/list:
    get:
      tags:
      - Derivative
      operationId: get/securitizedDerivative/underlying/list
      x-supportsOffsetBasedPaging: false
      x-supportsOffsetBasedPagingWithoutTotal: false
      x-supportsCursorBasedPaging: false
      x-supportsCursorBasedPagingWithoutTotal: false
      x-supportsPush: false
      x-requiresUser: false
      x-requiresInternalClient: false
      x-disallowUser: false
      x-no-merge: false
      x-maxSortParameterCount: 10
      x-supportsPermissionDeniedResponse: false
      summary: Factset List of Underlyings With Barrier and Cash Flow Information.
      description: Provides details regarding the underlyings, their respective barriers and related cash flows (if any) of a securitized derivative. A unique combination of a cash flow and related barrier modalities, such as observation and level, is called a condition. In case of a securitized derivative with multiple underlyings, a condition comprises the respective barriers of all underlyings participating in that condition. Since some underlyings, e.g. an index or a performance difference of a stock and an index (alpha structure), do not represent a directly tradable asset, they do not have a price in the classical sense. Therefore, the term "level" is used instead of "price", e.g. underlying level instead of underlying price.
      parameters:
      - name: id
        in: query
        schema:
          type: string
          format: id64
          x-positive: true
          description: Identifier of an instrument.
        required: true
      - name: _attributes
        in: query
        schema:
          type: array
          items:
            type: string
            maxLength: 100
          uniqueItems: true
          maxItems: 50
        style: form
        explode: false
        description: Limit the attributes returned in the response to the specified set.
      - name: _language
        in: query
        schema:
          type: string
          format: isoLanguage
          description: ISO 639-1 code of the language.
          maxLength: 2
          minLength: 2
      responses:
        '200':
          $ref: '#/components/responses/GetSecuritizedDerivativeUnderlyingList200Response'
      x-microcks-operation:
        delay: 0
        dispatcher: FALLBACK
components:
  responses:
    GetSecuritizedDerivativeUnderlyingList200Response:
      description: Successful Response
      content:
        application/json:
          schema:
            type: object
            properties:
              data:
                description: Underlying data, barrier conditions, and related cash flows.
                type: object
                x-property-sort:
                - underlyings
                - barrierTypeConditions
                properties:
                  underlyings:
                    type: array
                    items:
                      type: object
                      x-property-sort:
                      - name
                      - valueUnit
                      - operatingMIC
                      - notation
                      - coverRatio
                      - referenceLevel
                      - constantLeverage
                      - calculationLevel
                      properties:
                        name:
                          type:
                          - string
                          - 'null'
                          format: localizedString
                          description: Name of the underlying, provided also if there is no notation for the underlying.
                        valueUnit:
                          type: object
                          x-property-sort:
                          - id
                          - code
                          description: Value unit of the underlying, provided also if there is no notation for the underlying. See endpoint `/basic/valueUnit/list` for possible values.
                          properties:
                            id:
                              type:
                              - number
                              - 'null'
                              format: id32
                              x-positive: true
                              description: Identifier of the value unit.
                            code:
                              type:
                              - string
                              - 'null'
                              description: Code of the value unit.
                        operatingMIC:
                          type: object
                          x-property-sort:
                          - id
                          - isoCode
                          - name
                          description: The operating MIC of the underlying. See endpoint `/basic/mic/operating/list` for possible values.
                          properties:
                            id:
                              type:
                              - number
                              - 'null'
                              format: id32
                              x-positive: true
                              description: Identifier of the operating MIC.
                            isoCode:
                              type:
                              - string
                              - 'null'
                              description: ISO 10383 code of the operating MIC.
                            name:
                              type:
                              - string
                              - 'null'
                              description: English name of the operating MIC.
                        notation:
                          type: object
                          x-property-sort:
                          - id
                          - fsym
                          - instrument
                          description: Notation of the underlying. If there is no notation for the underlying, the object is null.
                          properties:
                            id:
                              type:
                              - string
                              - 'null'
                              format: id64
                              x-positive: true
                              description: Identifier of the notation.
                            fsym:
                              type: object
                              x-property-sort:
                              - listing
                              - regional
                              description: Notation-level FactSet identifiers of the financial instrument used primarily in FactSet products other than the MDG.
                              properties:
                                listing:
                                  type: object
                                  x-property-sort:
                                  - permanentIdentifier
                                  - tickerExchange
                                  - isPrimary
                                  description: Listing-level identifiers.
                                  properties:
                                    permanentIdentifier:
                                      type:
                                      - string
                                      - 'null'
                                      description: FactSet Permanent Identifier for a notation. The format is six alpha numeric characters, excluding vowels, with an L suffix (XXXXXX-L).
                                    tickerExchange:
                                      type:
                                      - string
                                      - 'null'
                                      description: 'FactSet market symbol of the notation, usually consisting of the ticker (e.g. "DAI" for Daimler AG) and the three-character code of the exchange on which the listing is traded (example: DAI-ETR).'
                                    isPrimary:
                                      type:
                                      - boolean
                                      - 'null'
                                      description: Indicates whether the notation is the primary notation among all notations within the same region (`true`) or not (`false`).
                                regional:
                                  type: object
                                  x-property-sort:
                                  - permanentIdentifier
                                  - tickerRegion
                                  - isPrimary
                                  description: Regional-level identifiers.
                                  properties:
                                    permanentIdentifier:
                                      type:
                                      - string
                                      - 'null'
                                      description: FactSet Permanent Identifier for a set of one or more notations of the same region with the same value unit. The format is six alpha numeric characters, excluding vowels, with an R suffix (XXXXXX-R).
                                    tickerRegion:
                                      type:
                                      - string
                                      - 'null'
                                      description: 'FactSet regional symbol of the notation, consisting of the ticker and the two-character code of the country or region where the listing is traded (example: DAI-DE).'
                                    isPrimary:
                                      type:
                                      - boolean
                                      - 'null'
                                      description: Indicates whether the notation is in the primary region of the security (`true`) or not (`false`).
                            instrument:
                              type: object
                              x-property-sort:
                              - id
                              - fsym
                              - typeComposite
                              description: Instrument of the underlying.
                              properties:
                                id:
                                  type:
                                  - string
                                  - 'null'
                                  format: id64
                                  x-positive: true
                                  description: Identifier of the instrument.
                                fsym:
                                  type: object
                                  x-property-sort:
                                  - security
                                  description: Instrument-level FactSet identifier of the financial instrument used primarily in FactSet products other than the MDG.
                                  properties:
                                    security:
                                      type: object
                                      x-property-sort:
                                      - permanentIdentifier
                                      description: Security-level identifier.
                                      properties:
                                        permanentIdentifier:
                                          type:
                                          - string
                                          - 'null'
                                          description: FactSet Permanent Identifier for an instrument. The format is six alpha numeric characters, excluding vowels, with an S suffix (XXXXXX-S).
                                typeComposite:
                                  type:
                                  - string
                                  - 'null'
                                  description: Type of composite instrument, in case the underlying is a composite instrument.
                                  x-enum-description:
                                  - A basket is a composite instrument which consists of several components. Its value is calculated as the weighted combination of the levels of the components. All weights are positive.
                                  - An alpha structure is a composite instrument which consists of two components. Its value is calculated as the difference of the performances of the components. The performances are measured starting at the date specified in the conditions of the securitized derivative.
                                  - 'A futures spread is a composite instrument which is built of two or more different futures contracts as its components. '
                                  - A factor index is a composite instrument that reflects the day-to-day performance of its component, multiplied with a constant factor. The related capital costs and fees for calculation and administration are not represented.
                                  enum:
                                  - basket
                                  - alphaStructure
                                  - futuresSpread
                                  - factorIndex
                        coverRatio:
                          type:
                          - number
                          - 'null'
                          format: real
                          description: 'Cover ratio. It indicates the number of units of the underlying to which the securitized derivative refers. If the underlying is a bond the cover ratio represents the value of one percentage point. '
                        referenceLevel:
                          type:
                          - number
                          - 'null'
                          format: real
                          description: Level of the underlying on the issue date of the securitized derivative.
                        constantLeverage:
                          type:
                          - number
                          - 'null'
                          format: real
                          description: Constant leverage of the underlying for securitized derivatives with constant leverage that do not have a factor index as underlying (i.e. the attribute `typeComposite` of the underlying instrument is not set or is different from factorIndex).
                        calculationLevel:
                          type: object
                          x-property-sort:
                          - value
                          - time
                          description: Details of the underlying regarding the calculation of the barrier key figures, see object `distance`.
                          properties:
                            value:
                              type:
                              - number
                              - 'null'
                              format: real
                              description: Level of the underlying used for calculation.
                            time:
                              type:
                              - string
                              - 'null'
                              format: datetime
                              description: Date and time of the level of the underlying used for calculation.
                    description: Information regarding the underlying(s) of the securitized derivative.
                  barrierTypeConditions:
                    type: array
                    items:
                      type: object
                      x-property-sort:
                      - barrierType
                      - conditions
                      properties:
                        barrierType:
                          type: object
                          x-property-sort:
                          - id
                          - name
                          description: Barrier type. It defines, among others, a condition with a direct or indirect consequence for the securitized derivative. See endpoint `securitizedDerivative/barrier/type/list` for possible values.
                          properties:
                            id:
                              type:
                              - number
                              - 'null'
                              format: id32
                              x-positive: true
                              description: Identifier of the barrier type.
                            name:
                              type:
                              - string
                              - 'null'
                              description: English name of the barrier type.
                        conditions:
                          type: array
                          items:
                            type: object
                            x-property-sort:
                            - observation
                            - barriers
                            - cashFlow
                            properties:
                              observation:
                                type: object
                                x-property-sort:
                                - type
                                - period
                                description: Barrier observation modality of the condition.
                                properties:
                                  type:
                                    type:
                                    - string
                                    - 'null'
                                    description: Identifier of the type of observation during the observation period.
                                    x-enum-description:
                                    - The barrier is active, i.e. observed on a continuous basis (intraday prices are relevant).
                                    - The barrier is active, i.e. observed  only at the end of the final auction for the underlying on the relevant exchange (intraday prices are of no relevance).
                                    enum:
                                    - continuous
                                    - eod
                                  period:
                                    type:
                                    - object
                                    - 'null'
                                    format: dateRange
                                    properties:
                                      start:
                                        type:
                                        - string
                                        - 'null'
                                        format: date
                                        description: Starting date of the observation period (inclusive).
                                      end:
                                        type:
                                        - string
                                        - 'null'
                                        format: date
                                        description: Ending date of the observation period (inclusive).
                                    x-property-sort:
                                    - start
                                    - end
            

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# Full source: https://raw.githubusercontent.com/api-evangelist/factset/refs/heads/main/openapi/factset-derivative-api-openapi.yml