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net.finmath.smartcontract.valuation.client.settlement_testset_initial.xml Maven / Gradle / Ivy

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<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<settlement>
    <currency>EUR</currency>
    <marginLimits>-50000</marginLimits>
    <marginLimits>50000</marginLimits>
    <marginValue>-5000</marginValue>
    <tradeId>SDCTestTrade1</tradeId>
    <settlementType>INITIAL</settlementType>
    <settlementTime>20220908-170110</settlementTime>
    <settlementNPV>12.25</settlementNPV>
    <settlementNPVPrevious>0</settlementNPVPrevious>
    <settlementTimeNext>20220909-170000</settlementTimeNext>
    <settlementNPVNext>17.11</settlementNPVNext>
    <marketData>
        <requestTimeStamp>20220908-170110</requestTimeStamp>
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            <id>ESTRSWP7D</id>
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            <id>ESTRSWP5M</id>
            <value>0.01552</value>
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        <item>
            <id>EUB6DEP6M</id>
            <value>0.01875</value>
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        <item>
            <id>ESTRSWP6M</id>
            <value>0.017040000000000003</value>
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        <item>
            <id>EUB6FRA7M</id>
            <value>0.021630000000000003</value>
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            <id>ESTRSWP7M</id>
            <value>0.0186</value>
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        <item>
            <id>EUB6FRA8M</id>
            <value>0.025230000000000002</value>
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            <value>0.024894999999999997</value>
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            <value>0.03327</value>
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            <id>EUB6FRA18M</id>
            <value>0.03161</value>
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            <value>0.0258</value>
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            <value>0.02642</value>
            <timeStamp>20220908-170110</timeStamp>
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        <item>
            <id>ESTRSWP2Y</id>
            <value>0.02681</value>
            <timeStamp>20220908-170110</timeStamp>
        </item>
        <item>
            <id>EUB6SWP2Y</id>
            <value>0.029539999999999997</value>
            <timeStamp>20220908-170110</timeStamp>
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        <item>
            <id>EUB6SWP3Y</id>
            <value>0.0297</value>
            <timeStamp>20220908-170110</timeStamp>
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        <item>
            <id>ESTRSWP3Y</id>
            <value>0.026760000000000003</value>
            <timeStamp>20220908-170110</timeStamp>
        </item>
        <item>
            <id>ESTRSWP4Y</id>
            <value>0.026494999999999998</value>
            <timeStamp>20220908-170110</timeStamp>
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            <value>0.029459999999999997</value>
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            <value>0.028579999999999998</value>
            <timeStamp>20220908-170110</timeStamp>
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    </marketData>
</settlement>




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