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

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<Trade id="Commodity_Swaption_NYMEX_NG">
  <TradeType>CommoditySwaption</TradeType>
  <Envelope>
      <CounterParty>001B456BCDEFGH67XY89</CounterParty>
      <NettingSetId>ABC1234</NettingSetId>
      <AdditionalFields>
          <party_id>549300A08LH2961IPN13</party_id>
          <valuation_date>2019-09-26</valuation_date>
      </AdditionalFields>
  </Envelope>
  <CommoditySwaptionData>
    <OptionData>
      <LongShort>Long</LongShort>
      <Settlement>Cash</Settlement>
      <PremiumAmount>0.0</PremiumAmount>
      <PremiumCurrency>USD</PremiumCurrency>
      <PremiumPayDate>2017-06-14</PremiumPayDate>
      <ExerciseDates>
        <ExerciseDate>2019-12-23</ExerciseDate>
      </ExerciseDates>
    </OptionData>
    <LegData>
      <LegType>CommodityFixed</LegType>
      <Payer>true</Payer>
      <Currency>USD</Currency>
      <PaymentLag>5</PaymentLag>
      <PaymentConvention>Following</PaymentConvention>
      <PaymentCalendar>US-NYSE</PaymentCalendar>
      <CommodityFixedLegData>
        <Quantities>
          <Quantity>10000</Quantity>
        </Quantities>
        <Prices>
          <Price>3.01</Price>
        </Prices>
        <CommodityQuantityFrequency>PerCalendarDay</CommodityQuantityFrequency>
        <CommodityPayRelativeTo>CalculationPeriodStartDate</CommodityPayRelativeTo>
      </CommodityFixedLegData>
      <ScheduleData>
        <Rules>
          <StartDate>2021-01-01</StartDate>
          <EndDate>2021-12-31</EndDate>
          <Tenor>1M</Tenor>
          <Calendar>NullCalendar</Calendar>
          <Convention>Unadjusted</Convention>
          <TermConvention>Unadjusted</TermConvention>
          <Rule>Backward</Rule>
          <EndOfMonth>true</EndOfMonth>
        </Rules>
      </ScheduleData>
    </LegData>
    <LegData>
      <LegType>CommodityFloating</LegType>
      <Payer>false</Payer>
      <Currency>USD</Currency>
      <PaymentLag>5</PaymentLag>
      <PaymentConvention>Following</PaymentConvention>
      <PaymentCalendar>US-NYSE</PaymentCalendar>
      <CommodityFloatingLegData>
        <Name>NYMEX:NG</Name>
        <PriceType>FutureSettlement</PriceType>
        <Quantities>
          <Quantity>10000</Quantity>
        </Quantities>
        <CommodityQuantityFrequency>PerCalendarDay</CommodityQuantityFrequency>
        <CommodityPayRelativeTo>CalculationPeriodStartDate</CommodityPayRelativeTo>
        <PricingDateRule>FutureExpiryDate</PricingDateRule>
      </CommodityFloatingLegData>
      <ScheduleData>
        <Rules>
          <StartDate>2021-01-01</StartDate>
          <EndDate>2021-12-31</EndDate>
          <Tenor>1M</Tenor>
          <Calendar>NullCalendar</Calendar>
          <Convention>Unadjusted</Convention>
          <TermConvention>Unadjusted</TermConvention>
          <Rule>Backward</Rule>
          <EndOfMonth>true</EndOfMonth>
        </Rules>
      </ScheduleData>
    </LegData>
  </CommoditySwaptionData>
</Trade>