cdm-sample-files.ore-1-0-39.CMS_Spread_Option_Swap.xml Maven / Gradle / Ivy

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<Portfolio>
<Trade id="CMS_Spread_Swap">
    <TradeType>Swap</TradeType>
    <Envelope>
        <CounterParty>001B456BCDEFGH67XY89</CounterParty>
        <NettingSetId>ABC1234</NettingSetId>
        <AdditionalFields>
            <party_id>549300A08LH2961IPN13</party_id>
            <valuation_date>2018-02-19</valuation_date>
        </AdditionalFields>
    </Envelope>
    <SwapData>
        <LegData>
            <LegType>CMSSpread</LegType>
            <Payer>false</Payer>
            <Currency>EUR</Currency>
            <Notionals>
                <Notional>10000000.000000</Notional>
            </Notionals>
            <DayCounter>30/360</DayCounter>
            <PaymentConvention>F</PaymentConvention>
            <CMSSpreadLegData>
                <Index1>EUR-CMS-10Y</Index1>
                <Index2>EUR-CMS-2Y</Index2>
                <IsInArrears>false</IsInArrears>
                <FixingDays>2</FixingDays>
                <Caps>
                    <Cap>0.06</Cap>
                </Caps>
                <Floors>
                    <Floor>0.00</Floor>
                </Floors>
                <Gearings>
                    <Gearing>3.0</Gearing>
                </Gearings>
                <Spreads>
                    <Spread>0.0010</Spread>
                </Spreads>
                <NakedOption>false</NakedOption>
            </CMSSpreadLegData>
            <ScheduleData>
                <Rules>
                    <StartDate>20161028</StartDate>
                    <EndDate>20351028</EndDate>
                    <Tenor>1Y</Tenor>
                    <Calendar>TARGET</Calendar>
                    <Convention>F</Convention>
                    <TermConvention>F</TermConvention>
                    <Rule>Forward</Rule>
                    <EndOfMonth/>
                    <FirstDate/>
                    <LastDate/>
                </Rules>
            </ScheduleData>
        </LegData>
        <LegData>
            <LegType>Floating</LegType>
            <Payer>true</Payer>
            <Currency>EUR</Currency>
            <Notionals>
                <Notional>10000000.000000</Notional>
            </Notionals>
            <DayCounter>A360</DayCounter>
            <PaymentConvention>MF</PaymentConvention>
            <FloatingLegData>
                <Index>EUR-EURIBOR-6M</Index>
                <Spreads>
                    <Spread>0.0080</Spread>
                </Spreads>
                <IsInArrears>false</IsInArrears>
                <FixingDays>2</FixingDays>
            </FloatingLegData>
            <ScheduleData>
                <Rules>
                    <StartDate>20161028</StartDate>
                    <EndDate>20351028</EndDate>
                    <Tenor>6M</Tenor>
                    <Calendar>TARGET</Calendar>
                    <Convention>MF</Convention>
                    <TermConvention>MF</TermConvention>
                    <Rule>Forward</Rule>
                    <EndOfMonth/>
                    <FirstDate/>
                    <LastDate/>
                </Rules>
            </ScheduleData>
        </LegData>
    </SwapData>
</Trade>
</Portfolio>