Factset Underlying API

openapi: 3.0.3
info:
  title: Factset Analytics Datastore About Underlying API
  description: Allow clients to fetch precalculated Analytics through predeterministic URLs.
  contact:
    name: FactSet Research Systems
    url: https://developer.factset.com/contact
    email: api@factset.com
  license:
    name: Apache License, Version 2.0
    url: https://www.apache.org/licenses/LICENSE-2.0
  version: 1.0.0
servers:
- url: https://api.factset.com
  description: Production
- url: https://api-sandbox.factset.com
  description: Sandbox
security:
- basicAuth: []
tags:
- name: Underlying
paths:
  /securitizedDerivative/underlying/list:
    get:
      tags:
      - Underlying
      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
            exclusiveMaximum: false
          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
          exclusiveMinimum: false
          exclusiveMaximum: false
      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.
                nullable: false
                type: object
                x-property-sort:
                - underlyings
                - barrierTypeConditions
                properties:
                  underlyings:
                    nullable: false
                    type: array
                    items:
                      type: object
                      nullable: false
                      x-property-sort:
                      - name
                      - valueUnit
                      - operatingMIC
                      - notation
                      - coverRatio
                      - referenceLevel
                      - constantLeverage
                      - calculationLevel
                      properties:
                        name:
                          nullable: true
                          type: string
                          format: localizedString
                          description: Name of the underlying, provided also if there is no notation for the underlying.
                        valueUnit:
                          nullable: false
                          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:
                              nullable: true
                              type: number
                              format: id32
                              x-positive: true
                              description: Identifier of the value unit.
                            code:
                              nullable: true
                              type: string
                              description: Code of the value unit.
                        operatingMIC:
                          nullable: false
                          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:
                              nullable: true
                              type: number
                              format: id32
                              x-positive: true
                              description: Identifier of the operating MIC.
                            isoCode:
                              nullable: true
                              type: string
                              description: ISO 10383 code of the operating MIC.
                            name:
                              nullable: true
                              type: string
                              description: English name of the operating MIC.
                        notation:
                          nullable: false
                          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:
                              nullable: true
                              type: string
                              format: id64
                              x-positive: true
                              description: Identifier of the notation.
                            fsym:
                              nullable: false
                              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:
                                  nullable: false
                                  type: object
                                  x-property-sort:
                                  - permanentIdentifier
                                  - tickerExchange
                                  - isPrimary
                                  description: Listing-level identifiers.
                                  properties:
                                    permanentIdentifier:
                                      nullable: true
                                      type: string
                                      description: FactSet Permanent Identifier for a notation. The format is six alpha numeric characters, excluding vowels, with an L suffix (XXXXXX-L).
                                    tickerExchange:
                                      nullable: true
                                      type: string
                                      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:
                                      nullable: true
                                      type: boolean
                                      description: Indicates whether the notation is the primary notation among all notations within the same region (`true`) or not (`false`).
                                regional:
                                  nullable: false
                                  type: object
                                  x-property-sort:
                                  - permanentIdentifier
                                  - tickerRegion
                                  - isPrimary
                                  description: Regional-level identifiers.
                                  properties:
                                    permanentIdentifier:
                                      nullable: true
                                      type: string
                                      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:
                                      nullable: true
                                      type: string
                                      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:
                                      nullable: true
                                      type: boolean
                                      description: Indicates whether the notation is in the primary region of the security (`true`) or not (`false`).
                            instrument:
                              nullable: false
                              type: object
                              x-property-sort:
                              - id
                              - fsym
                              - typeComposite
                              description: Instrument of the underlying.
                              properties:
                                id:
                                  nullable: true
                                  type: string
                                  format: id64
                                  x-positive: true
                                  description: Identifier of the instrument.
                                fsym:
                                  nullable: false
                                  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:
                                      nullable: false
                                      type: object
                                      x-property-sort:
                                      - permanentIdentifier
                                      description: Security-level identifier.
                                      properties:
                                        permanentIdentifier:
                                          nullable: true
                                          type: string
                                          description: FactSet Permanent Identifier for an instrument. The format is six alpha numeric characters, excluding vowels, with an S suffix (XXXXXX-S).
                                typeComposite:
                                  nullable: true
                                  type: string
                                  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:
                          nullable: true
                          type: number
                          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:
                          nullable: true
                          type: number
                          format: real
                          description: Level of the underlying on the issue date of the securitized derivative.
                        constantLeverage:
                          nullable: true
                          type: number
                          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:
                          nullable: false
                          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:
                              nullable: true
                              type: number
                              format: real
                              description: Level of the underlying used for calculation.
                            time:
                              nullable: true
                              type: string
                              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:
                    nullable: false
                    type: array
                    items:
                      type: object
                      nullable: false
                      x-property-sort:
                      - barrierType
                      - conditions
                      properties:
                        barrierType:
                          nullable: false
                          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:
                              nullable: true
                              type: number
                              format: id32
                              x-positive: true
                              description: Identifier of the barrier type.
                            name:
                              nullable: true
                              type: string
                              description: English name of the barrier type.
                        conditions:
                          nullable: false
                          type: array
                          items:
                            type: object
                            nullable: false
                            x-property-sort:
                            - observation
                            - barriers
                            - cashFlow
                            properties:
                              observation:
                                nullable: false
                                type: object
                                x-property-sort:
                                - type
                                - period
                                description: Barrier observation modality of the condition.
                                properties:
                                  type:
                                    nullable: true
                                    type: string
                                    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:
                                    nullable: true
                                    type: object
                                    format: dateRange
                                    properties:
                                      start:
                                        nullable: true
                                        type: string
                                        format: date
                                        description: Starting date of the observation period (inclusive).
                                      end:
                                        nullable: true
                                        type: string
                                        format: date
                                        description: Ending date of the observation period (inclusive).
                                    x-property-sort:
                                    - start
                                    - end
                                    required:
                                    - start
                                    - end
                                    description: Observation period.
                              barriers:
                                nullable: false
                                type: array
                                items:
                                  type: object
                                  nullable: false
                                  x-property-sort:
                                  - underlyingIndex
                                  - single
                                  - range
                                  properties:
                                    underlyingIndex:
                                      nullable: true
                                      type: number
                                      format: int32
                                      description: Index used to identify the underlying associated with that barrier level, in the array `underlyings`, with the first element having index 0.
                                    single:
                                      nullable: false
                                      type: object
                                      x-property-sort:
                                      - level
                                      - breach
                                      - distance
                                      - participationFactor
                                      description: Barrier with a single limit.
                                      properties:
                                        level:
                                          nullable: false
                                          type: object
                                          x-property-sort:
                                          - absolute
                                          - relative
                                          description: Level of the barrier.
                                          properties:
                                            absolute:
                                              nullable: true
                                              type: number
                                              format: real
                                              description: Level in absolute terms.
                                            relative:
                                              nullable: true
                                              type: number
                                              format: relativeValue
                                              description: Level relative to the underlying level on the issue date of the securitized derivative.
                                        breach:
                                          nullable: false
                                          type: object
                                          x-property-sort:
                                          - isBreached
                                          - datetimeBreach
                                          description: Information whether or not, and if yes - when a barrier breach has occurred.
                                          properties:
                                            isBreached:
                                              nullable: true
                                              type: boolean
                                              description: If set to true, indicates that the barrier has been breached.
                                            datetimeBreach:
                                              nullable: true
                                              type: string
                                              format: datetime
                                              description: Date and time of the breach.
                                        distance:
                                          nullable: false
                                          type: object
                                          x-property-sort:
                                          - absolute
                                          - relative
                                          description: Distance of the barrier level to the current underlying level.
                                          properties:
                                            absolute:
                                              nullable: true
                                              type: number
                                              format: real
                                              description: Distance in absolute terms.
                                            relative:
                                              nullable: true
                                              type: number
                                              format: relativeValue
                                              description: Distance relative to the current underlying level.
                                        participationFactor:
                                          nullable: false
                                          type: object
                                          x-property-sort:
                                          - positive
                                          - negative
                                          description: Participation factor of the securitized derivative in the performance of the underlying, depending on the exercise right (see attribute `exercise.right` in endpoint `/securitizedDerivative/get`).
                                          properties:
                                            positive:
                                              nullable: true
                                              type: number
                                              format: real
                                              description: 'Participation factor above the barrier for a securitized derivative with exercise right call, and below the barrier for exercise right put. '
                                            negative:
                                              nullable: true
                                              type: number
                                              format: real
                                              description: Participation factor above the barrier for a securitized derivative with exercise right put, and below the barrier for exercise right call.
                                    range:
                                      nullable: false
                                      type: object
                                      x-property-sort:
                                      - upper
                                      - lower
                                      description: Range barrier.
                                      properties:
                                        upper:
                                          nullable: false
                                          type: object
                                          x-property-sort:
                                          - level
                                          - breach
                                          - distance
                                          - participationFactor
                                          description: Upper bound.
                                          properties:
                                            level:
                                              nullable: false
                                              type: object
                                              x-property-sort:
                                              - absolute
                                              - relative
                                              description: Level of the upper bound.
                                              properties:
                                                absolute:
                                                  nullable: true
                                                  type: number
                                                  format: real
                                                  description: Level in absolute terms.
                                                relative:
                                                  nullable: true
                                                  type: number
                                                  format: relativeValue
                                                  description: Level relative to the underlying level on the issue date of the securitized derivative.
                                            breach:
                                              nullable: false
                                              type: object
                                              x-property-sort:
                                              - isBreached
                                              - datetimeBreach
                                              description: Information whether or not, and if yes - when a barrier breach has occurred.
                                              properties:
                                                isBreached:
                                                  nullable: true
                                                  type: boolean
                                                  description: If set to true, indicates that the upper bound has been breached.
                                                datetimeBreach:
                                                  nullable: true
                                                  type: string
                                                  format: datetime
                                                  description: Date and time of the breach.
                                            distance:
                                              nullable: false
                                              type: object
                                              x-property-sort:
                                              - absolute
                                              - relative
                                              description: Distance of the upper bound to the current underlying level.
                                              properties:
                                                absolute:
                                                  nullable: true
                                                  type: number
                                                  format: real
                                                  description: Distance in absolute terms.
                                                relative:
                                                  nullable: true
                                                  type: number
                                                  format: relativeValue
                                                  description: Distance relative to the current underlying level.
                                            participationFactor:
                                              nullable: false
                                              type: object
                                              x-property-sort:
                                              - positive
                                              - negative
                                              description: Participation factor of the securitized derivative in the performance of the underlying.
                                              properties:
                                                positive:
                                                  nullable: true
                                                  type: number
                                                  format: real
                                                  description: Participation factor above the upper bound.
                                                negative:
                                                  nullable: true
                                                  type: number
                                                  format: real
                                  

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