cdm-sample-files.functions.business-event.exercise.exercise-swaption-full-physical-func-output.json Maven / Gradle / Ivy
{
"intent" : "OptionExercise",
"eventDate" : "2001-08-28",
"instruction" : [ {
"primitiveInstruction" : {
"exercise" : {
"exerciseQuantity" : {
"quantityChange" : {
"change" : [ {
"quantity" : [ {
"value" : {
"value" : 0,
"unit" : {
"currency" : {
"value" : "EUR"
}
}
}
} ],
"meta" : {
"globalKey" : "16df72"
}
} ],
"direction" : "Replace"
}
}
}
},
"before" : {
"value" : {
"trade" : {
"tradeIdentifier" : [ {
"issuerReference" : {
"globalReference" : "d4813763",
"externalReference" : "party1"
},
"assignedIdentifier" : [ {
"identifier" : {
"value" : "123",
"meta" : {
"scheme" : "http://www.partyA.com/trade-id"
}
},
"version" : 1
} ],
"meta" : {
"globalKey" : "72886a2b"
}
} ],
"tradeDate" : {
"value" : "2000-08-30",
"meta" : {
"globalKey" : "3e821e"
}
},
"tradableProduct" : {
"product" : {
"contractualProduct" : {
"productTaxonomy" : [ {
"source" : "ISDA",
"productQualifier" : "InterestRate_Option_Swaption"
} ],
"economicTerms" : {
"payout" : {
"optionPayout" : [ {
"payerReceiver" : {
"payer" : "Party2",
"receiver" : "Party1"
},
"settlementTerms" : {
"meta" : {
"globalKey" : "4cf"
},
"physicalSettlementTerms" : {
"clearedPhysicalSettlement" : true,
"meta" : {
"globalKey" : "4cf"
}
}
},
"buyerSeller" : {
"buyer" : "Party1",
"seller" : "Party2"
},
"exerciseTerms" : {
"optionStyle" : {
"europeanExercise" : {
"expirationDate" : [ {
"adjustableDate" : {
"unadjustedDate" : "2001-08-28",
"dateAdjustments" : {
"businessDayConvention" : "FOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
}, {
"value" : "GBLO"
} ],
"meta" : {
"globalKey" : "4158421"
}
},
"meta" : {
"globalKey" : "da3b6050"
}
},
"meta" : {
"globalKey" : "770e7eb4"
}
},
"meta" : {
"globalKey" : "770e7eb4"
}
} ],
"earliestExerciseTime" : {
"hourMinuteTime" : "09:00:00",
"businessCenter" : {
"value" : "BEBR"
}
},
"expirationTime" : {
"hourMinuteTime" : "11:00:00",
"businessCenter" : {
"value" : "BEBR"
}
},
"meta" : {
"globalKey" : "83fbdc15"
}
}
},
"exerciseProcedure" : {
"manualExercise" : {
"exerciseNotice" : {
"exerciseNoticeGiver" : "Seller",
"businessCenter" : {
"value" : "GBLO"
}
}
},
"followUpConfirmation" : true
}
},
"underlier" : {
"contractualProduct" : {
"productTaxonomy" : [ {
"source" : "ISDA",
"productQualifier" : "InterestRate_IRSwap_FixedFloat"
} ],
"economicTerms" : {
"payout" : {
"interestRatePayout" : [ {
"payerReceiver" : {
"payer" : "Party1",
"receiver" : "Party2"
},
"priceQuantity" : {
"quantitySchedule" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "quantity-1"
}
},
"meta" : {
"globalKey" : "0"
}
},
"rateSpecification" : {
"fixedRate" : {
"rateSchedule" : {
"price" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "price-1"
}
}
},
"meta" : {
"globalKey" : "0"
}
}
},
"dayCountFraction" : {
"value" : "30/360"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
"unadjustedDate" : "2001-08-30",
"dateAdjustments" : {
"businessDayConvention" : "NONE",
"meta" : {
"globalKey" : "24a738"
}
},
"meta" : {
"globalKey" : "eae921d6"
}
},
"meta" : {
"globalKey" : "eae921d6"
}
},
"terminationDate" : {
"adjustableDate" : {
"unadjustedDate" : "2006-08-30",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d",
"externalKey" : "accrualBusinessCenters0"
}
},
"meta" : {
"globalKey" : "365baaee"
}
},
"meta" : {
"globalKey" : "9ead9b90"
}
},
"meta" : {
"globalKey" : "9ead9b90"
}
},
"calculationPeriodDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "20a71d",
"externalReference" : "accrualBusinessCenters0"
},
"meta" : {
"globalKey" : "26b869c"
}
},
"meta" : {
"globalKey" : "e00ca52b"
}
},
"calculationPeriodFrequency" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "17984"
},
"rollConvention" : "30"
},
"meta" : {
"globalKey" : "2f4e2f95",
"externalKey" : "CalcPeriodDates0"
}
},
"paymentDates" : {
"paymentFrequency" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "78"
}
},
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d",
"externalKey" : "paymentBusinessCenters0"
}
},
"meta" : {
"globalKey" : "365baaee"
}
},
"meta" : {
"globalKey" : "9b0d9350"
}
},
"meta" : {
"globalKey" : "2b126fd0"
}
}, {
"payerReceiver" : {
"payer" : "Party2",
"receiver" : "Party1"
},
"priceQuantity" : {
"quantitySchedule" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "quantity-2"
}
},
"meta" : {
"globalKey" : "0"
}
},
"rateSpecification" : {
"floatingRate" : {
"rateOption" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "rateOption-1"
}
},
"meta" : {
"globalKey" : "0"
}
}
},
"dayCountFraction" : {
"value" : "ACT/360"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
"unadjustedDate" : "2001-08-30",
"dateAdjustments" : {
"businessDayConvention" : "NONE",
"meta" : {
"globalKey" : "24a738"
}
},
"meta" : {
"globalKey" : "eae921d6"
}
},
"meta" : {
"globalKey" : "eae921d6"
}
},
"terminationDate" : {
"adjustableDate" : {
"unadjustedDate" : "2006-08-30",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d",
"externalKey" : "accrualBusinessCenters1"
}
},
"meta" : {
"globalKey" : "365baaee"
}
},
"meta" : {
"globalKey" : "9ead9b90"
}
},
"meta" : {
"globalKey" : "9ead9b90"
}
},
"calculationPeriodDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "20a71d",
"externalReference" : "accrualBusinessCenters1"
},
"meta" : {
"globalKey" : "26bfafb"
}
},
"meta" : {
"globalKey" : "e00d198a"
}
},
"calculationPeriodFrequency" : {
"periodMultiplier" : 6,
"period" : "M",
"meta" : {
"globalKey" : "18ad5"
},
"rollConvention" : "30"
},
"meta" : {
"globalKey" : "972f6dc5",
"externalKey" : "CalcPeriodDates1"
}
},
"paymentDates" : {
"paymentFrequency" : {
"periodMultiplier" : 6,
"period" : "M",
"meta" : {
"globalKey" : "107"
}
},
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d",
"externalKey" : "paymentBusinessCenters1"
}
},
"meta" : {
"globalKey" : "365baaee"
}
},
"meta" : {
"globalKey" : "8f129421"
}
},
"resetDates" : {
"calculationPeriodDatesReference" : {
"globalReference" : "972f6dc5",
"externalReference" : "CalcPeriodDates1"
},
"resetRelativeTo" : "CalculationPeriodStartDate",
"fixingDates" : {
"periodMultiplier" : -2,
"period" : "D",
"meta" : {
"globalKey" : "a5cb919"
},
"dayType" : "Business",
"businessDayConvention" : "NONE",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d",
"externalKey" : "fixingBusinessCenters0"
}
},
"dateRelativeTo" : {
"globalReference" : "a64bcd67",
"externalReference" : "resetDates0"
}
},
"resetFrequency" : {
"periodMultiplier" : 6,
"period" : "M",
"meta" : {
"globalKey" : "107"
}
},
"resetDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "20a71d",
"externalReference" : "paymentBusinessCenters1"
},
"meta" : {
"globalKey" : "c3690944"
}
},
"meta" : {
"globalKey" : "a10a27d3"
}
},
"meta" : {
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"externalKey" : "resetDates0"
}
},
"meta" : {
"globalKey" : "30f825c0"
}
} ],
"meta" : {
"globalKey" : "62c23bf0"
}
}
},
"meta" : {
"globalKey" : "b347671f"
}
},
"meta" : {
"globalKey" : "b347671f"
}
},
"meta" : {
"globalKey" : "6888b2f5"
}
} ],
"meta" : {
"globalKey" : "6888b2f5"
}
},
"calculationAgent" : {
"calculationAgentParty" : "CalculationAgentIndependent"
}
},
"meta" : {
"globalKey" : "72279d8a"
}
},
"meta" : {
"globalKey" : "72279d8a"
}
},
"tradeLot" : [ {
"priceQuantity" : [ {
"price" : [ {
"value" : {
"value" : 0.05,
"unit" : {
"currency" : {
"value" : "EUR"
}
},
"perUnitOf" : {
"currency" : {
"value" : "EUR"
}
},
"priceType" : "InterestRate"
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "price-1"
} ]
}
} ],
"quantity" : [ {
"value" : {
"value" : 100000000,
"unit" : {
"currency" : {
"value" : "EUR"
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "quantity-1"
} ]
}
} ],
"meta" : {
"globalKey" : "66e6c0bb"
}
}, {
"quantity" : [ {
"value" : {
"value" : 100000000,
"unit" : {
"currency" : {
"value" : "EUR"
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "quantity-2"
} ]
}
} ],
"observable" : {
"rateOption" : {
"value" : {
"floatingRateIndex" : {
"value" : "EUR-EURIBOR-Telerate"
},
"indexTenor" : {
"periodMultiplier" : 6,
"period" : "M",
"meta" : {
"globalKey" : "107"
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "rateOption-1"
} ]
}
},
"meta" : {
"globalKey" : "2bba2221"
}
},
"meta" : {
"globalKey" : "4820adb2"
}
} ]
} ],
"counterparty" : [ {
"role" : "Party1",
"partyReference" : {
"globalReference" : "d4813763",
"externalReference" : "party1"
}
}, {
"role" : "Party2",
"partyReference" : {
"globalReference" : "d4813764",
"externalReference" : "party2"
}
} ],
"ancillaryParty" : [ {
"role" : "CalculationAgentIndependent",
"partyReference" : [ {
"globalReference" : "d4813764",
"externalReference" : "party2"
} ]
} ]
},
"party" : [ {
"partyId" : [ {
"identifier" : {
"value" : "party A",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/iso9362"
}
},
"identifierType" : "BIC",
"meta" : {
"globalKey" : "d4813763"
}
} ],
"meta" : {
"globalKey" : "d4813763",
"externalKey" : "party1"
}
}, {
"partyId" : [ {
"identifier" : {
"value" : "party B",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/iso9362"
}
},
"identifierType" : "BIC",
"meta" : {
"globalKey" : "d4813764"
}
} ],
"meta" : {
"globalKey" : "d4813764",
"externalKey" : "party2"
}
} ],
"meta" : {
"globalKey" : "ff174b48"
}
},
"transferHistory" : [ {
"transfer" : {
"quantity" : {
"value" : 100000,
"unit" : {
"currency" : {
"value" : "EUR"
}
}
},
"payerReceiver" : {
"payerPartyReference" : {
"globalReference" : "d4813763",
"externalReference" : "party1"
},
"receiverPartyReference" : {
"globalReference" : "d4813764",
"externalReference" : "party2"
}
},
"settlementDate" : {
"unadjustedDate" : "2000-08-30",
"dateAdjustments" : {
"businessDayConvention" : "FOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d"
}
},
"meta" : {
"globalKey" : "211dc30c"
}
}
},
"transferExpression" : {
"priceTransfer" : "Premium"
}
},
"meta" : {
"globalKey" : "33666668"
}
} ],
"meta" : {
"globalKey" : "81b7b220"
}
}
}
} ],
"eventQualifier" : "Exercise",
"after" : [ {
"trade" : {
"tradeIdentifier" : [ {
"issuerReference" : {
"globalReference" : "d4813763",
"externalReference" : "party1"
},
"assignedIdentifier" : [ {
"identifier" : {
"value" : "123",
"meta" : {
"scheme" : "http://www.partyA.com/trade-id"
}
},
"version" : 1
} ],
"meta" : {
"globalKey" : "72886a2b"
}
} ],
"tradeDate" : {
"value" : "2000-08-30",
"meta" : {
"globalKey" : "3e821e"
}
},
"tradableProduct" : {
"product" : {
"contractualProduct" : {
"productTaxonomy" : [ {
"source" : "ISDA",
"productQualifier" : "InterestRate_Option_Swaption"
} ],
"economicTerms" : {
"payout" : {
"optionPayout" : [ {
"payerReceiver" : {
"payer" : "Party2",
"receiver" : "Party1"
},
"settlementTerms" : {
"meta" : {
"globalKey" : "4cf"
},
"physicalSettlementTerms" : {
"clearedPhysicalSettlement" : true,
"meta" : {
"globalKey" : "4cf"
}
}
},
"buyerSeller" : {
"buyer" : "Party1",
"seller" : "Party2"
},
"exerciseTerms" : {
"optionStyle" : {
"europeanExercise" : {
"expirationDate" : [ {
"adjustableDate" : {
"unadjustedDate" : "2001-08-28",
"dateAdjustments" : {
"businessDayConvention" : "FOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
}, {
"value" : "GBLO"
} ],
"meta" : {
"globalKey" : "4158421"
}
},
"meta" : {
"globalKey" : "da3b6050"
}
},
"meta" : {
"globalKey" : "770e7eb4"
}
},
"meta" : {
"globalKey" : "770e7eb4"
}
} ],
"earliestExerciseTime" : {
"hourMinuteTime" : "09:00:00",
"businessCenter" : {
"value" : "BEBR"
}
},
"expirationTime" : {
"hourMinuteTime" : "11:00:00",
"businessCenter" : {
"value" : "BEBR"
}
},
"meta" : {
"globalKey" : "83fbdc15"
}
}
},
"exerciseProcedure" : {
"manualExercise" : {
"exerciseNotice" : {
"exerciseNoticeGiver" : "Seller",
"businessCenter" : {
"value" : "GBLO"
}
}
},
"followUpConfirmation" : true
}
},
"underlier" : {
"contractualProduct" : {
"productTaxonomy" : [ {
"source" : "ISDA",
"productQualifier" : "InterestRate_IRSwap_FixedFloat"
} ],
"economicTerms" : {
"payout" : {
"interestRatePayout" : [ {
"payerReceiver" : {
"payer" : "Party1",
"receiver" : "Party2"
},
"priceQuantity" : {
"quantitySchedule" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "quantity-1"
}
},
"meta" : {
"globalKey" : "0"
}
},
"rateSpecification" : {
"fixedRate" : {
"rateSchedule" : {
"price" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "price-1"
}
}
},
"meta" : {
"globalKey" : "0"
}
}
},
"dayCountFraction" : {
"value" : "30/360"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
"unadjustedDate" : "2001-08-30",
"dateAdjustments" : {
"businessDayConvention" : "NONE",
"meta" : {
"globalKey" : "24a738"
}
},
"meta" : {
"globalKey" : "eae921d6"
}
},
"meta" : {
"globalKey" : "eae921d6"
}
},
"terminationDate" : {
"adjustableDate" : {
"unadjustedDate" : "2006-08-30",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d",
"externalKey" : "accrualBusinessCenters0"
}
},
"meta" : {
"globalKey" : "365baaee"
}
},
"meta" : {
"globalKey" : "9ead9b90"
}
},
"meta" : {
"globalKey" : "9ead9b90"
}
},
"calculationPeriodDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "20a71d",
"externalReference" : "accrualBusinessCenters0"
},
"meta" : {
"globalKey" : "26b869c"
}
},
"meta" : {
"globalKey" : "e00ca52b"
}
},
"calculationPeriodFrequency" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "17984"
},
"rollConvention" : "30"
},
"meta" : {
"globalKey" : "2f4e2f95",
"externalKey" : "CalcPeriodDates0"
}
},
"paymentDates" : {
"paymentFrequency" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "78"
}
},
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d",
"externalKey" : "paymentBusinessCenters0"
}
},
"meta" : {
"globalKey" : "365baaee"
}
},
"meta" : {
"globalKey" : "9b0d9350"
}
},
"meta" : {
"globalKey" : "2b126fd0"
}
}, {
"payerReceiver" : {
"payer" : "Party2",
"receiver" : "Party1"
},
"priceQuantity" : {
"quantitySchedule" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "quantity-2"
}
},
"meta" : {
"globalKey" : "0"
}
},
"rateSpecification" : {
"floatingRate" : {
"rateOption" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "rateOption-1"
}
},
"meta" : {
"globalKey" : "0"
}
}
},
"dayCountFraction" : {
"value" : "ACT/360"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
"unadjustedDate" : "2001-08-30",
"dateAdjustments" : {
"businessDayConvention" : "NONE",
"meta" : {
"globalKey" : "24a738"
}
},
"meta" : {
"globalKey" : "eae921d6"
}
},
"meta" : {
"globalKey" : "eae921d6"
}
},
"terminationDate" : {
"adjustableDate" : {
"unadjustedDate" : "2006-08-30",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d",
"externalKey" : "accrualBusinessCenters1"
}
},
"meta" : {
"globalKey" : "365baaee"
}
},
"meta" : {
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