Contract Delta: YU17 over YU16-cdm-instruments

All inherited order/trade/position/risk/post-trade/EOD REST, NATS, FIX and cluster contracts are retained unchanged. Every delta below is additive except two schema identifiers of this state's own artifacts: the cut (1 → 3) and the contracts file (1 → 2). Both are appends; every existing line and column keeps its position and meaning.

1. Cluster gateway REST (extended)

Route	Change	Shape
`POST /swaps`	new	request below; `200: {contractId, sequence, booked:true}` \| `400: {error}` \| `422: {booked:false, reason}` \| `504: {error}`
`POST /swaptions`	new	the same body plus `expiryDate` and `exerciseStyle`; same status codes, `contractId` is `SWPT-<N>`

Request body:

{
  "clientOrderId": "recv-1",
  "accountId": 22214,
  "payReceive": "Receive",
  "notional": 10000000,
  "fixedRate": 0.042,
  "effectiveDate": "2026-08-17",
  "maturityDate": "2031-08-17",
  "conventions": "USD-SOFR-1Y-ACT360"
}

payReceive is Pay or Receive, case-insensitive, naming the direction of the FIXED leg.
notional is whole currency units, 1..2147483647.
fixedRate is an annual decimal fraction; 0.042 is 4.2%. Zero is refused.
Dates are ISO yyyy-MM-dd, between 1970-01-01 and 2149-06-06, maturity strictly after effective.
conventions is a name from the table in data-model.md; an unknown name is refused.
clientOrderId is optional. Supplied, it makes the booking idempotent: a repeat returns the original contractId. Omitted, each request is a distinct contract.

A swaption body adds two fields and reinterprets none:

{
  "clientOrderId": "swpt-1",
  "accountId": 22214,
  "payReceive": "Pay",
  "notional": 25000000,
  "fixedRate": 0.0415,
  "effectiveDate": "2027-02-15",
  "maturityDate": "2032-02-15",
  "conventions": "USD-SOFR-1Y-ACT360",
  "expiryDate": "2027-02-15",
  "exerciseStyle": "European"
}

Every field except the last two describes the UNDERLYING swap: fixedRate is the strike and payReceive is the direction of the underlying's fixed leg, so "Pay" is a payer swaption. exerciseStyle is European, Bermudan or American, case-insensitive; an unknown style is 400. expiryDate must be on or before effectiveDate; an option that expires after the swap it is an option on has nothing to be exercised into.

Status codes carry different meanings and are not interchangeable: 400 the term could not be represented and nothing was sequenced; 422 the booking was sequenced and the risk gate decided against it, with the reason named; 504 no decision committed within the timeout; ambiguous, not a rejection.

2. Cluster ingress (extended)

InputEventMessage, SBE template 1, schema version unchanged. New commandType value:

Value	Name	Payload
12	`TYPE_SWAP_BOOK`	`accountId`; `side` 0=receive-fixed / 1=pay-fixed; `qty`=notional; `limitPx`=fixed rate ×1e6; `priceTicks`=`clientOrderKey`; `securityId`=convention index; `orderRef`= effective epoch day in bits 0-15, maturity epoch day in bits 16-31
13	`TYPE_SWAPTION_BOOK`	every slot above keeps its meaning for the UNDERLYING swap; `securityId` becomes the option word; convention index in bits 0-7, exercise style in bits 8-15, expiry epoch day in bits 16-31

No new SBE template and no template id claimed.

3. Cluster egress (extended)

Kind	Name	Bytes
102	`KIND_SWAP_BOOKED`	`0..7` contract id (0 when refused); `8..11` 1=booked / 0=refused; `12` kind; `13..20` `clientOrderKey` for correlation; `22` `RiskReason` ordinal

Deliberately outside OutputEvent's 1..8 range, so it can never be mistaken for an order-lifecycle ack by the gateway's egress correlation.

4. The cut (schema 2 → 3)

Header gains one field and the body gains one section, whose rows gain the three option columns. Everything above the marker is byte-identical to what schema 1 rendered for the same state; no position column has ever changed.

#cut schema=3 seq=<N> sessionDateEpochDay=<D> priceVersion=<V> rows=<R> contracts=<C>
accountId,security,quantity,avgCostTicks,contractMultiplier,lastTradePxTicks
… R position rows, sorted (accountId, securityId) …
#contracts
contractId,accountId,payFixed,notional,fixedRateTicks,conventionIndex,effectiveEpochDay,maturityEpochDay,productType,expiryEpochDay,exerciseStyle
… C contract rows, ascending contractId …

The #contracts section is present at contracts=0. A cut without it is refused by the contracts renderer with a message saying the producer is older; never rendered as an empty portfolio.

5. The EOD artifacts

Object	Change	Schema
`<date>/v<version>/seq-<N>.cut`	unchanged path, schema-3 content	cut schema 3
`<date>/v<version>/seq-<N>.csv`	unchanged, every column identical	CSV schema 3
`<date>/v<version>/seq-<N>-contracts.csv`	new	contracts schema 2

Contracts artifact columns:

contractId,accountId,payReceive,notional,fixedRate,floatIndex,effectiveDate,maturityDate,paymentFrequency,dayCount,currency,counterpartyId,nettingSetId,productType,expiryDate,exerciseStyle
SW-22940,22214,RECEIVE_FIXED,25000000,0.041500,USD-SOFR,2027-02-15,2032-02-15,1Y,ACT/360,USD,CPTY-CASCADE-AM,NS-CASC-ISDA-01,SWAP,,
SWPT-22939,22214,PAY_FIXED,25000000,0.041500,USD-SOFR,2027-02-15,2032-02-15,1Y,ACT/360,USD,CPTY-CASCADE-AM,NS-CASC-ISDA-01,SWAPTION,2027-02-15,BERMUDAN

Every column left of productType describes the UNDERLYING swap, which is what lets both products share one file: a SWAP row simply leaves the two option columns empty.

currency is the CONTRACT's, from its conventions; not the account's base currency. No valuation column exists, by design (ADR-064, ADR-065).

All three objects are written write-once under one consensus sequence. On the GCS sink they are delivered in one call.

6. `risk.extract.ready` (extended)

Existing fields unchanged; four added:

{
  "schema": 3, "uri": "…/seq-2900.csv", "sha256": "…", "rows": 4,
  "consensusSequence": 2900, "sessionDate": "2026-08-17", "priceSnapshotVersion": 3,
  "cutSha256": "…", "quiesceWitnessSequence": 2901,
  "contractsSchema": 2, "contractsUri": "…/seq-2900-contracts.csv",
  "contracts": 2, "contractsSha256": "…"
}

consensusSequence, sessionDate and cutSha256 are shared by both artifacts: one cut, one instant, two files.

7. Rebuild CLI (extended)

RiskExtractMain --rebuild <cut> <positions.csv> [<contracts.csv>]

The fourth argument is optional and additive; the three-argument form behaves exactly as before.

8. Snapshot

SNAPSHOT_FORMAT 4 → 5 for the new T_CONTRACT (12) record, then 5 → 6 for its three option-wrapper columns. MIN_READABLE_SNAPSHOT_FORMAT unchanged at 3, so format-3, -4 and -5 snapshots all restore here; a format-5 T_CONTRACT is read at its own eight-column width and restores as a SWAP. A format-6 snapshot handed to an older build is refused at the header with the existing direction-of-mismatch message.

1. Cluster gateway REST (extended)​

2. Cluster ingress (extended)​

3. Cluster egress (extended)​

4. The cut (schema 2 → 3)​

5. The EOD artifacts​

6. risk.extract.ready (extended)​

7. Rebuild CLI (extended)​

8. Snapshot​