net.finmath.smartcontract.product.xml.smartderivativecontract_with_rics.xml Maven / Gradle / Ivy
<smartderivativecontract xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
xmlns="uri:sdc"
xsi:schemaLocation="uri:sdc smartderivativecontract.xsd">
<dltTradeId>ID-rics567</dltTradeId>
<dltAddress>0x000000006</dltAddress>
<uniqueTradeIdentifier>UTI12345</uniqueTradeIdentifier>
<settlementCurrency>EUR</settlementCurrency>
<tradeType>SDCPledgedBalance</tradeType>
<valuation>
<artefact>
<groupId>net.finmath</groupId>
<artifactId>finmath-smart-derivative-contract</artifactId>
<version>0.1.8</version>
</artefact>
</valuation>
<parties>
<party>
<name>Counterparty 1</name>
<id>party1</id>
<marginAccount>
<type>constant</type>
<value>10000.0</value>
</marginAccount>
<penaltyFee>
<type>constant</type>
<value>50000.0</value>
</penaltyFee>
<address>0x627306090abab3a6e1400e9345bc60c78a8bef57</address>
</party>
<party>
<name>Counterparty 2</name>
<id>party2</id>
<marginAccount>
<type>constant</type>
<value>10000.0</value>
</marginAccount>
<penaltyFee>
<type>constant</type>
<value>50000.0</value>
</penaltyFee>
<address>0xf17f52151ebef6c7334fad080c5704d77216b732</address>
</party>
</parties>
<settlement>
<settlementDateInitial>
2011-12-03T10:15:30
</settlementDateInitial>
<settlementTime>
<type>daily</type>
<value>17:00</value>
</settlementTime>
<marketdata>
<provider>refinitiv</provider>
<marketdataitems>
<item>
<symbol>EUROSTR=</symbol>
<curve>ESTR</curve>
<type>Fixing</type>
<tenor>1D</tenor>
</item>
<item>
<symbol>EURIBOR6MD=</symbol>
<curve>Euribor6M</curve>
<type>Fixing</type>
<tenor>6M</tenor>
</item>
<item>
<symbol>EUR6MD=</symbol>
<curve>Euribor6M</curve>
<type>Deposit</type>
<tenor>6M</tenor>
</item>
<item>
<symbol>EUR1X7F=</symbol>
<curve>Euribor6M</curve>
<type>Forward-Rate-Agreement</type>
<tenor>7M</tenor>
</item>
<item>
<symbol>EUR2X8F=</symbol>
<curve>Euribor6M</curve>
<type>Forward-Rate-Agreement</type>
<tenor>8M</tenor>
</item>
<item>
<symbol>EUR3X9F=</symbol>
<curve>Euribor6M</curve>
<type>Forward-Rate-Agreement</type>
<tenor>9M</tenor>
</item>
<item>
<symbol>EUR4X10F=</symbol>
<curve>Euribor6M</curve>
<type>Forward-Rate-Agreement</type>
<tenor>10M</tenor>
</item>
<item>
<symbol>EUR6X12F=</symbol>
<curve>Euribor6M</curve>
<type>Forward-Rate-Agreement</type>
<tenor>12M</tenor>
</item>
<item>
<symbol>EUR9X15F=</symbol>
<curve>Euribor6M</curve>
<type>Forward-Rate-Agreement</type>
<tenor>15M</tenor>
</item>
<item>
<symbol>EUR12X18F=</symbol>
<curve>Euribor6M</curve>
<type>Forward-Rate-Agreement</type>
<tenor>18M</tenor>
</item>
<item>
<symbol>EURAB6E2Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>2Y</tenor>
</item>
<item>
<symbol>EURAB6E3Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>3Y</tenor>
</item>
<item>
<symbol>EURAB6E4Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>4Y</tenor>
</item>
<item>
<symbol>EURAB6E5Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>5Y</tenor>
</item>
<item>
<symbol>EURAB6E6Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>6Y</tenor>
</item>
<item>
<symbol>EURAB6E7Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>7Y</tenor>
</item>
<item>
<symbol>EURAB6E8Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>8Y</tenor>
</item>
<item>
<symbol>EURAB6E9Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>9Y</tenor>
</item>
<item>
<symbol>EURAB6E10Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>10Y</tenor>
</item>
<item>
<symbol>EURAB6E11Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>11Y</tenor>
</item>
<item>
<symbol>EURAB6E12Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>12Y</tenor>
</item>
<item>
<symbol>EURAB6E13Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>13Y</tenor>
</item>
<item>
<symbol>EURAB6E14Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>14Y</tenor>
</item>
<item>
<symbol>EURAB6E15Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>15Y</tenor>
</item>
<item>
<symbol>EURAB6E16Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>16Y</tenor>
</item>
<item>
<symbol>EURAB6E17Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>17Y</tenor>
</item>
<item>
<symbol>EURAB6E18Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>18Y</tenor>
</item>
<item>
<symbol>EURAB6E19Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>19Y</tenor>
</item>
<item>
<symbol>EURAB6E20Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>20Y</tenor>
</item>
<item>
<symbol>EURAB6E21Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>21Y</tenor>
</item>
<item>
<symbol>EURAB6E22Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>22Y</tenor>
</item>
<item>
<symbol>EURAB6E23Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>23Y</tenor>
</item>
<item>
<symbol>EURAB6E24Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>24Y</tenor>
</item>
<item>
<symbol>EURAB6E25Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>25Y</tenor>
</item>
<item>
<symbol>EURAB6E26Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>26Y</tenor>
</item>
<item>
<symbol>EURAB6E27Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>27Y</tenor>
</item>
<item>
<symbol>EURAB6E28Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>28Y</tenor>
</item>
<item>
<symbol>EURAB6E29Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>29Y</tenor>
</item>
<item>
<symbol>EURAB6E30Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>30Y</tenor>
</item>
<item>
<symbol>EURAB6E40Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>40Y</tenor>
</item>
<item>
<symbol>EURAB6E50Y=</symbol>
<curve>Euribor6M</curve>
<type>Swap-Rate</type>
<tenor>50Y</tenor>
</item>
<item>
<symbol>EURESTSW=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>7D</tenor>
</item>
<item>
<symbol>EUREST2W=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>14D</tenor>
</item>
<item>
<symbol>EUREST3W=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>21D</tenor>
</item>
<item>
<symbol>EUREST1M=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>1M</tenor>
</item>
<item>
<symbol>EUREST2M=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>2M</tenor>
</item>
<item>
<symbol>EUREST3M=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>3M</tenor>
</item>
<item>
<symbol>EUREST4M=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>4M</tenor>
</item>
<item>
<symbol>EUREST5M=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>5M</tenor>
</item>
<item>
<symbol>EUREST6M=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>6M</tenor>
</item>
<item>
<symbol>EUREST7M=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>7M</tenor>
</item>
<item>
<symbol>EUREST8M=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>8M</tenor>
</item>
<item>
<symbol>EUREST9M=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>9M</tenor>
</item>
<item>
<symbol>EUREST1Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>1Y</tenor>
</item>
<item>
<symbol>EUREST15M=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>15M</tenor>
</item>
<item>
<symbol>EUREST18M=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>18M</tenor>
</item>
<item>
<symbol>EUREST21M=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>21M</tenor>
</item>
<item>
<symbol>EUREST2Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>2Y</tenor>
</item>
<item>
<symbol>EUREST3Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>3Y</tenor>
</item>
<item>
<symbol>EUREST4Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>4Y</tenor>
</item>
<item>
<symbol>EUREST5Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>5Y</tenor>
</item>
<item>
<symbol>EUREST6Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>6Y</tenor>
</item>
<item>
<symbol>EUREST7Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>7Y</tenor>
</item>
<item>
<symbol>EUREST8Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>8Y</tenor>
</item>
<item>
<symbol>EUREST9Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>9Y</tenor>
</item>
<item>
<symbol>EUREST10Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>10Y</tenor>
</item>
<item>
<symbol>EUREST11Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>11Y</tenor>
</item>
<item>
<symbol>EUREST12Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>12Y</tenor>
</item>
<item>
<symbol>EUREST15Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>15Y</tenor>
</item>
<item>
<symbol>EUREST20Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>20Y</tenor>
</item>
<item>
<symbol>EUREST25Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>25Y</tenor>
</item>
<item>
<symbol>EUREST30Y=</symbol>
<curve>ESTR</curve>
<type>Swap-Rate</type>
<tenor>30Y</tenor>
</item>
</marketdataitems>
</marketdata>
</settlement>
<receiverPartyID>
party1
</receiverPartyID>
<underlyings>
<underlying>
<dataDocument xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
xmlns="http://www.fpml.org/FpML-5/confirmation" fpmlVersion="5-9"
xsi:schemaLocation="http://www.fpml.org/FpML-5/confirmation ../../fpml-main-5-9.xsd http://www.w3.org/2000/09/xmldsig# ../../xmldsig-core-schema.xsd">
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="party1"/>
<tradeId tradeIdScheme="http://www.partyA.com/swaps/trade-id">CP1</tradeId>
</partyTradeIdentifier>
<partyTradeIdentifier>
<partyReference href="party2"/>
<tradeId tradeIdScheme="http://www.partyA.com/swaps/trade-id">CP2</tradeId>
</partyTradeIdentifier>
<tradeDate>2022-09-05</tradeDate>
</tradeHeader>
<swap>
<!-- party1 pays the floating rate every 6 months, based on 6M EUR-LIBOR-BBA,
on an ACT/360 basis -->
<swapStream>
<payerPartyReference href="party1"/>
<receiverPartyReference href="party2"/>
<calculationPeriodDates id="floatingCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2022-09-07</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2032-09-07</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters id="primaryBusinessCenters">
<businessCenter>DEFR</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters"/>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
<rollConvention>14</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="floatingCalcPeriodDates"/>
<paymentFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters"/>
</paymentDatesAdjustments>
</paymentDates>
<resetDates id="resetDates">
<calculationPeriodDatesReference href="floatingCalcPeriodDates"/>
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
<fixingDates>
<periodMultiplier>-2</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>NONE</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
</businessCenters>
<dateRelativeTo href="resetDates"/>
</fixingDates>
<resetFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters"/>
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>10000000.00</initialValue>
<currency
currencyScheme="http://www.fpml.org/coding-scheme/external/iso4217">
EUR
</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex>EUR-LIBOR-BBA</floatingRateIndex>
<indexTenor>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</indexTenor>
</floatingRateCalculation>
<dayCountFraction>ACT/360</dayCountFraction>
</calculation>
</calculationPeriodAmount>
</swapStream>
<!-- party2 pays the 6% fixed rate every year on a 30E/360 basis -->
<swapStream>
<payerPartyReference href="party2"/>
<receiverPartyReference href="party1"/>
<calculationPeriodDates id="fixedCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2022-09-07</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2032-09-07</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters"/>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters"/>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>1</periodMultiplier>
<period>Y</period>
<rollConvention>14</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="fixedCalcPeriodDates"/>
<paymentFrequency>
<periodMultiplier>1</periodMultiplier>
<period>Y</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters"/>
</paymentDatesAdjustments>
</paymentDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>10000000.00</initialValue>
<currency
currencyScheme="http://www.fpml.org/coding-scheme/external/iso4217">
EUR
</currency>
</notionalStepSchedule>
</notionalSchedule>
<fixedRateSchedule>
<initialValue>0.0395</initialValue>
</fixedRateSchedule>
<dayCountFraction>30E/360</dayCountFraction>
</calculation>
</calculationPeriodAmount>
</swapStream>
</swap>
</trade>
<party id="party1">
<partyId>PARTXXXX</partyId>
</party>
<party id="party2">
<partyId>P2RTXXXX</partyId>
</party>
</dataDocument>
</underlying>
</underlyings>
</smartderivativecontract>
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