cdm-sample-files.functions.business-event.index-transition.index-transition-xccy-swap-func-output.json Maven / Gradle / Ivy
{
"intent" : "IndexTransition",
"eventDate" : "2018-06-17",
"instruction" : [ {
"primitiveInstruction" : {
"indexTransition" : {
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}
},
"perUnitOf" : {
"currency" : {
"value" : "USD"
}
},
"priceType" : "InterestRate",
"arithmeticOperator" : "Add"
}
} ],
"observable" : {
"rateOption" : {
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"floatingRateIndex" : {
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"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index"
}
},
"indexTenor" : {
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"meta" : {
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}
}
}
}
},
"meta" : {
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}
}, {
"price" : [ {
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"unit" : {
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}
},
"perUnitOf" : {
"currency" : {
"value" : "EUR"
}
},
"priceType" : "InterestRate",
"arithmeticOperator" : "Add"
}
} ],
"observable" : {
"rateOption" : {
"value" : {
"floatingRateIndex" : {
"value" : "EUR-EURIBOR-Reuters",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index"
}
},
"indexTenor" : {
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"period" : "M",
"meta" : {
"globalKey" : "aa"
}
}
}
}
},
"meta" : {
"globalKey" : "f2d94bf3"
}
} ],
"effectiveDate" : "2018-06-19"
}
},
"before" : {
"value" : {
"trade" : {
"tradeIdentifier" : [ {
"issuer" : {
"value" : "54930084UKLVMY22DS16",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/iso17442"
}
},
"assignedIdentifier" : [ {
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}
}
} ],
"meta" : {
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},
"identifierType" : "UniqueTransactionIdentifier"
}, {
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"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc"
}
},
"assignedIdentifier" : [ {
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"value" : "UITD7895394",
"meta" : {
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}
}
} ],
"meta" : {
"globalKey" : "af42d69a"
},
"identifierType" : "UniqueSwapIdentifier"
} ],
"tradeDate" : {
"value" : "2018-03-19",
"meta" : {
"globalKey" : "3f10d3",
"externalKey" : "tradeDate"
}
},
"tradableProduct" : {
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}
}, {
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"value" : {
"name" : {
"value" : "SRAXCC",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962"
}
}
}
}, {
"source" : "EMIR",
"value" : {
"name" : {
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"meta" : {
"scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type"
}
}
}
}, {
"source" : "ISDA",
"productQualifier" : "InterestRate_CrossCurrency_Basis"
} ],
"economicTerms" : {
"payout" : {
"interestRatePayout" : [ {
"payerReceiver" : {
"payer" : "Party1",
"receiver" : "Party2"
},
"priceQuantity" : {
"quantitySchedule" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "quantity-1"
}
},
"quantityReference" : {
"globalReference" : "0",
"externalReference" : "fixed_notional_schedule"
},
"quantityMultiplier" : {
"fxLinkedNotionalSchedule" : {
"varyingNotionalCurrency" : {
"value" : "USD"
},
"varyingNotionalFixingDates" : {
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"period" : "D",
"meta" : {
"globalKey" : "22aecdb2"
},
"dayType" : "Business",
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"businessCenters" : {
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} ],
"meta" : {
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}
},
"dateRelativeTo" : {
"globalReference" : "3f10d3",
"externalReference" : "tradeDate"
}
},
"fxSpotRateSource" : {
"primarySource" : {
"sourceProvider" : {
"value" : "Telerate"
},
"sourcePage" : {
"value" : "WM Company LDN 11am Mid"
},
"sourcePageHeading" : "USD/EUR"
}
},
"fixingTime" : {
"hourMinuteTime" : "11:00:00",
"businessCenter" : {
"value" : "GBLO"
}
},
"varyingNotionalInterimExchangePaymentDates" : {
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"period" : "D",
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"globalKey" : "22aecdb2"
},
"dayType" : "Business",
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"businessCenters" : {
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} ],
"meta" : {
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}
},
"dateRelativeTo" : {
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"externalReference" : "tradeDate"
}
}
}
},
"meta" : {
"globalKey" : "f5b4fb4d"
}
},
"principalPayment" : {
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"finalPayment" : false,
"intermediatePayment" : true,
"meta" : {
"globalKey" : "12be2f"
}
},
"settlementTerms" : {
"settlementCurrency" : {
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},
"meta" : {
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}
},
"rateSpecification" : {
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"address" : {
"scope" : "DOCUMENT",
"value" : "rateOption-2"
}
},
"spreadSchedule" : {
"price" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "price-2"
}
}
},
"meta" : {
"globalKey" : "0"
}
}
},
"dayCountFraction" : {
"value" : "ACT/360"
},
"calculationPeriodDates" : {
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"businessCenters" : {
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}
},
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}
},
"meta" : {
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}
},
"terminationDate" : {
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"businessCenters" : {
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"value" : "USNY"
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}
},
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"meta" : {
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},
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"businessCenters" : {
"businessCenter" : [ {
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"value" : "USNY"
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}
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},
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},
"rollConvention" : "21"
},
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}
},
"paymentDates" : {
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"period" : "M",
"meta" : {
"globalKey" : "aa"
}
},
"firstPaymentDate" : "2018-06-21",
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDatesAdjustments" : {
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"businessCenters" : {
"businessCenter" : [ {
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"value" : "USNY"
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}
},
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},
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},
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},
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}
},
"dateRelativeTo" : {
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},
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}
},
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"businessCenters" : {
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},
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}
},
"meta" : {
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}
},
"compoundingMethod" : "None",
"cashflowRepresentation" : {
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},
"meta" : {
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}
}, {
"payerReceiver" : {
"payer" : "Party2",
"receiver" : "Party1"
},
"priceQuantity" : {
"quantitySchedule" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "quantity-2"
}
},
"meta" : {
"globalKey" : "0",
"externalKey" : "fixed_notional_schedule"
}
},
"principalPayment" : {
"initialPayment" : true,
"finalPayment" : true,
"intermediatePayment" : true,
"principalPaymentSchedule" : {
"initialPrincipalPayment" : {
"principalPaymentDate" : {
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"value" : "2018-03-21",
"meta" : {
"globalKey" : "3f10d5"
}
},
"meta" : {
"globalKey" : "0"
}
},
"payerReceiver" : {
"payer" : "Party1",
"receiver" : "Party2"
},
"principalAmount" : {
"value" : 1400,
"unit" : {
"currency" : {
"value" : "EUR"
}
},
"meta" : {
"globalKey" : "7b889f5f"
}
},
"meta" : {
"globalKey" : "39f638fe"
}
},
"finalPrincipalPayment" : {
"principalPaymentDate" : {
"adjustedDate" : {
"value" : "2023-03-21",
"meta" : {
"globalKey" : "3f38d5"
}
},
"meta" : {
"globalKey" : "0"
}
},
"payerReceiver" : {
"payer" : "Party2",
"receiver" : "Party1"
},
"principalAmount" : {
"value" : 1400,
"unit" : {
"currency" : {
"value" : "EUR"
}
},
"meta" : {
"globalKey" : "7b889f5f"
}
},
"meta" : {
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}
}
},
"meta" : {
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}
},
"settlementTerms" : {
"settlementCurrency" : {
"value" : "EUR"
},
"meta" : {
"globalKey" : "10da2"
}
},
"rateSpecification" : {
"floatingRate" : {
"rateOption" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "rateOption-1"
}
},
"spreadSchedule" : {
"price" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "price-1"
}
}
},
"meta" : {
"globalKey" : "0"
}
}
},
"dayCountFraction" : {
"value" : "ACT/360"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
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"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
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}, {
"value" : "USNY"
}, {
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} ],
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}
},
"meta" : {
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},
"meta" : {
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}
},
"meta" : {
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},
"terminationDate" : {
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"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
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}, {
"value" : "USNY"
}, {
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} ],
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}
},
"meta" : {
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}
},
"adjustedDate" : {
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}
},
"meta" : {
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}
},
"meta" : {
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},
"calculationPeriodDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "GBLO"
}, {
"value" : "USNY"
}, {
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} ],
"meta" : {
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}
},
"meta" : {
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}
},
"calculationPeriodFrequency" : {
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"period" : "M",
"meta" : {
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},
"rollConvention" : "21"
},
"meta" : {
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}
},
"paymentDates" : {
"paymentFrequency" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
"globalKey" : "aa"
}
},
"firstPaymentDate" : "2018-06-21",
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "GBLO"
}, {
"value" : "USNY"
}, {
"value" : "EUTA"
} ],
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}
},
"meta" : {
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}
},
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}
},
"resetDates" : {
"calculationPeriodDatesReference" : {
"globalReference" : "a071381b",
"externalReference" : "d0e6023"
},
"resetRelativeTo" : "CalculationPeriodStartDate",
"fixingDates" : {
"periodMultiplier" : -2,
"period" : "D",
"meta" : {
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},
"dayType" : "Business",
"businessDayConvention" : "NONE",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
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}
},
"dateRelativeTo" : {
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}
},
"resetFrequency" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
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}
},
"resetDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
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} ],
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}
},
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}
},
"meta" : {
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}
},
"compoundingMethod" : "None",
"cashflowRepresentation" : {
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},
"meta" : {
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}
} ],
"meta" : {
"globalKey" : "c30ccbef"
}
}
},
"productIdentifier" : [ {
"identifier" : {
"value" : "InterestRate:CrossCurrency:Basis",
"meta" : {
"scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id"
}
},
"source" : "Other",
"meta" : {
"globalKey" : "82d2440b"
}
} ],
"meta" : {
"globalKey" : "a56e918e"
}
},
"meta" : {
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}
},
"tradeLot" : [ {
"priceQuantity" : [ {
"price" : [ {
"value" : {
"value" : 0,
"unit" : {
"currency" : {
"value" : "USD"
}
},
"perUnitOf" : {
"currency" : {
"value" : "USD"
}
},
"priceType" : "InterestRate",
"arithmeticOperator" : "Add"
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "price-2"
} ]
}
} ],
"quantity" : [ {
"value" : {
"value" : 1726.62,
"unit" : {
"currency" : {
"value" : "USD"
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "quantity-1"
} ]
}
} ],
"observable" : {
"rateOption" : {
"value" : {
"floatingRateIndex" : {
"value" : "USD-LIBOR-BBA",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index"
}
},
"indexTenor" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
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}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "rateOption-2"
} ]
}
}
},
"meta" : {
"globalKey" : "27f9e331"
}
}, {
"price" : [ {
"value" : {
"value" : -0.0045,
"unit" : {
"currency" : {
"value" : "EUR"
}
},
"perUnitOf" : {
"currency" : {
"value" : "EUR"
}
},
"priceType" : "InterestRate",
"arithmeticOperator" : "Add"
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "price-1"
} ]
}
} ],
"quantity" : [ {
"value" : {
"value" : 1400,
"unit" : {
"currency" : {
"value" : "EUR"
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "quantity-2"
} ]
}
} ],
"observable" : {
"rateOption" : {
"value" : {
"floatingRateIndex" : {
"value" : "EUR-EURIBOR-Telerate",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index"
}
},
"indexTenor" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
"globalKey" : "aa"
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "rateOption-1"
} ]
}
}
},
"meta" : {
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}
} ]
} ],
"counterparty" : [ {
"role" : "Party1",
"partyReference" : {
"globalReference" : "b6bdbfc2",
"externalReference" : "party1"
}
}, {
"role" : "Party2",
"partyReference" : {
"globalReference" : "a14913ec",
"externalReference" : "party2"
}
} ]
},
"party" : [ {
"partyId" : [ {
"identifier" : {
"value" : "54930084UKLVMY22DS16",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/iso17442"
}
},
"identifierType" : "LEI",
"meta" : {
"globalKey" : "abf5051b"
}
} ],
"name" : {
"value" : "Party A"
},
"meta" : {
"globalKey" : "b6bdbfc2",
"externalKey" : "party1"
}
}, {
"partyId" : [ {
"identifier" : {
"value" : "48750084UKLVTR22DS78",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/iso17442"
}
},
"identifierType" : "LEI",
"meta" : {
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}
} ],
"name" : {
"value" : "Party B"
},
"meta" : {
"globalKey" : "a14913ec",
"externalKey" : "party2"
}
} ],
"meta" : {
"globalKey" : "5d5580bd"
}
},
"transferHistory" : [ {
"transfer" : {
"quantity" : {
"value" : 5,
"unit" : {
"currency" : {
"value" : "EUR"
}
}
},
"asset" : {
"Cash" : {
"identifier" : [ {
"identifier" : {
"value" : "EUR"
},
"identifierType" : "CurrencyCode"
} ]
}
},
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