cdm-sample-files.ore-1-0-39.Equity_Swap_Indexed_Funding_Leg.xml Maven / Gradle / Ivy
<?xml version="1.0"?>
<Portfolio>
<Trade id="EqSwapIndexedFundingLeg_STOXX_Short_Version">
<TradeType>EquitySwap</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>
<Payer>true</Payer>
<LegType>Floating</LegType>
<Currency>USD</Currency>
<PaymentConvention>Following</PaymentConvention>
<DayCounter>A360</DayCounter>
<FloatingLegData>
<Index>USD-LIBOR-3M</Index>
<Spreads>
<Spread>0.005</Spread>
</Spreads>
<FixingDays>2</FixingDays>
<IsInArrears>false</IsInArrears>
</FloatingLegData>
<ScheduleData>
<Rules>
<StartDate>2018-12-31</StartDate>
<EndDate>2020-12-31</EndDate>
<Tenor>3M</Tenor>
<Calendar>USD</Calendar>
<Convention>ModifiedFollowing</Convention>
<TermConvention>ModifiedFollowing</TermConvention>
<Rule>Forward</Rule>
</Rules>
</ScheduleData>
<Indexings>
<FromAssetLeg>true</FromAssetLeg>
</Indexings>
</LegData>
<LegData>
<Payer>false</Payer>
<LegType>Equity</LegType>
<Currency>USD</Currency>
<PaymentConvention>Following</PaymentConvention>
<DayCounter>A360</DayCounter>
<EquityLegData>
<Quantity>1000</Quantity>
<ReturnType>Total</ReturnType>
<Name>RIC:.STOXX50E</Name>
<InitialPrice>3368.858184</InitialPrice>
<InitialPriceCurrency>USD</InitialPriceCurrency>
<NotionalReset>true</NotionalReset>
<FixingDays>0</FixingDays>
<FXTerms>
<EquityCurrency>EUR</EquityCurrency>
<FXIndex>FX-ECB-EUR-USD</FXIndex>
<FXIndexFixingDays>2</FXIndexFixingDays>
<FXIndexCalendar>EUR,USD</FXIndexCalendar>
</FXTerms>
</EquityLegData>
<ScheduleData>
<Rules>
<StartDate>2018-12-31</StartDate>
<EndDate>2020-12-31</EndDate>
<Tenor>3M</Tenor>
<Calendar>USD</Calendar>
<Convention>ModifiedFollowing</Convention>
<TermConvention>ModifiedFollowing</TermConvention>
<Rule>Forward</Rule>
</Rules>
</ScheduleData>
</LegData>
</SwapData>
</Trade>
<Trade id="EqSwapIndexedFundingLeg_STOXX_Explicit_Version">
<TradeType>EquitySwap</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>
<Payer>true</Payer>
<LegType>Floating</LegType>
<Currency>USD</Currency>
<PaymentConvention>Following</PaymentConvention>
<DayCounter>A360</DayCounter>
<!-- the effective notional is this notional here times the quantity times the share price;
for an EquitySwap this should be set to 1.0 usually -->
<Notionals>
<Notional>1</Notional>
</Notionals>
<FloatingLegData>
<Index>USD-LIBOR-3M</Index>
<Spreads>
<Spread>0.005</Spread>
</Spreads>
<FixingDays>2</FixingDays>
<IsInArrears>false</IsInArrears>
</FloatingLegData>
<ScheduleData>
<Rules>
<StartDate>2018-12-31</StartDate>
<EndDate>2020-12-31</EndDate>
<Tenor>3M</Tenor>
<Calendar>USD</Calendar>
<Convention>ModifiedFollowing</Convention>
<TermConvention>ModifiedFollowing</TermConvention>
<Rule>Forward</Rule>
</Rules>
</ScheduleData>
<Indexings>
<Indexing>
<Quantity>1000</Quantity>
<!-- EQ-{IdentifierType}:{Name}:{Currency}:{Exchange} -->
<Index>EQ-RIC:.STOXX50E</Index>
<!-- optional, first index fixing to apply; if not given, value is read from the fixing history;
for an EquitySwap this should be set to the InitialPrice from the equity leg -->
<InitialFixing>3368.858184</InitialFixing>
<!-- optional, if not given the valuation schedule is assumed to be the same as the accrual schedule
of the floating rate coupons;
for an EquitySwap this should be set to the valuation schedule of the equity leg -->
<ValuationSchedule>
<Rules>
<StartDate>2018-12-31</StartDate>
<EndDate>2020-12-31</EndDate>
<Tenor>3M</Tenor>
<Calendar>USD</Calendar>
<Convention>ModifiedFollowing</Convention>
<TermConvention>ModifiedFollowing</TermConvention>
<Rule>Forward</Rule>
</Rules>
</ValuationSchedule>
<!-- derivation rules for the equity fixing date from the valuation dates -->
<!-- optional, defaults to 0 (is set for an EquitySwap according to the comment above -->
<FixingDays>0</FixingDays>
<!-- optional, defaults to NullCalendar() -->
<FixingCalendar>US</FixingCalendar>
<!-- optional, defaults to P -->
<FixingConvention>P</FixingConvention>
<!-- optional, defaults to false -->
<IsInArrears>false</IsInArrears>
</Indexing>
<Indexing>
<!-- additional FX conversion, Quantity defaults to 1 -->
<Quantity>1</Quantity>
<!-- the fx index to use, one of the ccys must match the leg ccy -->
<Index>FX-ECB-EUR-USD</Index>
<!-- the fx index fixing days (only used for fx) -->
<IndexFixingDays>2</IndexFixingDays>
<!-- the fx index calendar (only used for fx) -->
<IndexFixingCalendar>EUR,USD</IndexFixingCalendar>
<!-- the effective initial fixing to apply (i.e. domestic ccy = leg ccy);
for an EquitySwap this should not be given, to be consistent with the EquityLeg FX conversion,
except the InitialPrice in the equity leg is given in trade ccy which implies that we do not
need an FX conversion for this first price. -->
<InitialFixing>1.0</InitialFixing>
<!-- see the comments above -->
<ValuationSchedule>
<Rules>
<StartDate>2018-12-31</StartDate>
<EndDate>2020-12-31</EndDate>
<Tenor>3M</Tenor>
<Calendar>USD</Calendar>
<Convention>ModifiedFollowing</Convention>
<TermConvention>ModifiedFollowing</TermConvention>
<Rule>Forward</Rule>
</Rules>
</ValuationSchedule>
<FixingDays>0</FixingDays>
<FixingCalendar>EUR,USD</FixingCalendar>
<FixingConvention>P</FixingConvention>
<IsInArrears>false</IsInArrears>
</Indexing>
</Indexings>
</LegData>
<LegData>
<Payer>false</Payer>
<LegType>Equity</LegType>
<Currency>USD</Currency>
<PaymentConvention>Following</PaymentConvention>
<DayCounter>A360</DayCounter>
<EquityLegData>
<Quantity>1000</Quantity>
<ReturnType>Total</ReturnType>
<Name>RIC:.STOXX50E</Name>
<InitialPrice>3368.858184</InitialPrice>
<InitialPriceCurrency>USD</InitialPriceCurrency>
<NotionalReset>true</NotionalReset>
<FixingDays>0</FixingDays>
<FXTerms>
<EquityCurrency>EUR</EquityCurrency>
<FXIndex>FX-ECB-EUR-USD</FXIndex>
<FXIndexFixingDays>2</FXIndexFixingDays>
<FXIndexCalendar>EUR,USD</FXIndexCalendar>
</FXTerms>
</EquityLegData>
<ScheduleData>
<Rules>
<StartDate>2018-12-31</StartDate>
<EndDate>2020-12-31</EndDate>
<Tenor>3M</Tenor>
<Calendar>USD</Calendar>
<Convention>ModifiedFollowing</Convention>
<TermConvention>ModifiedFollowing</TermConvention>
<Rule>Forward</Rule>
</Rules>
</ScheduleData>
</LegData>
</SwapData>
</Trade>
</Portfolio>
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