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

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<?xml version="1.0"?>
<Portfolio>
  <Trade id="ConvertibleBondTRS">
    <TradeType>TotalReturnSwap</TradeType>
    <Envelope>
        <CounterParty>001B456BCDEFGH67XY89</CounterParty>
        <NettingSetId>ABC1234</NettingSetId>
        <AdditionalFields>
            <party_id>549300A08LH2961IPN13</party_id>
            <valuation_date>2020-06-08</valuation_date>
        </AdditionalFields>
    </Envelope>
    <TotalReturnSwapData>
      <!-- a trade defining the underlying on which the return is computed -->
      <!-- this can have types Bond, ConvertibleBond, EquityPosition -->
      <UnderlyingData>
        <Trade>
          <TradeType>ConvertibleBond</TradeType>
          <ConvertibleBondData>
            <BondData>
              <SecurityId>ISIN:XY1000000000</SecurityId>
              <BondNotional>1000000.00</BondNotional>
            </BondData>
          </ConvertibleBondData>
        </Trade>
      </UnderlyingData>
      <!-- the return leg definition -->
      <ReturnData>
        <Payer>false</Payer>
        <!-- the currency defining the trade ccy -->
        <Currency>EUR</Currency>
        <!-- reference schedule definition -->
        <ScheduleData>
          <Rules>
            <StartDate>2017-12-31</StartDate>
            <EndDate>2020-12-31</EndDate>
            <Tenor>6M</Tenor>
            <Calendar>USD</Calendar>
            <Convention>ModifiedFollowing</Convention>
            <TermConvention>ModifiedFollowing</TermConvention>
            <Rule>Forward</Rule>
          </Rules>
        </ScheduleData>
        <!-- valuation dates are derived from the above schedule -->
        <!-- defaults to 0D -->
        <ObservationLag>0D</ObservationLag>
        <!-- defaults to P -->
        <ObservationConvention>P</ObservationConvention>
        <!-- defaults to schedule calendar -->
        <ObservationCalendar>USD</ObservationCalendar>
        <!-- payment dates can be derived from the above schedule ... -->
        <PaymentLag>2D</PaymentLag>
        <PaymentConvention>F</PaymentConvention>
        <PaymentCalendar>TARGET</PaymentCalendar>
        <!-- ... or can be overwritten by a list of explicit dates -->
        <!-- <PaymentDates> -->
        <!--   <PaymentDate> ... </PaymentDate> -->
        <!--   <PaymentDate> ... </PaymentDate> -->
        <!-- </PaymentDates> -->
        <!-- Optional initial price and currency -->
        <InitialPrice>1.05</InitialPrice>
        <!-- defaults to asset ccy, can be set to return ccy also -->
        <InitialPriceCurrency>EUR</InitialPriceCurrency>
        <!-- FX Conversion Details, required if asset ccy != return ccy -->
        <!-- <FXTerms> -->
        <!--   <FXIndex>FX-ECB-EUR-USD</FXIndex> -->
        <!--   <FXIndexFixingDays>2</FXIndexFixingDays> -->
        <!--   <FXIndexCalendar>EUR,USD</FXIndexCalendar> -->
        <!-- </FXTerms> -->
      </ReturnData>
      <!-- the funding leg definition -->
      <FundingData>
        <!-- any number of legs, must all be in the return ccy -->
        <LegData>
          <Payer>true</Payer>
          <LegType>Floating</LegType>
          <Currency>EUR</Currency>
          <PaymentConvention>Following</PaymentConvention>
          <DayCounter>A360</DayCounter>
          <FloatingLegData>
            <Index>EUR-EURIBOR-6M</Index>
            <Spreads>
              <Spread>0.01</Spread>
            </Spreads>
            <FixingDays>2</FixingDays>
            <IsInArrears>false</IsInArrears>
          </FloatingLegData>
          <ScheduleData>
            <Rules>
              <StartDate>2017-12-31</StartDate>
              <EndDate>2020-12-31</EndDate>
              <Tenor>6M</Tenor>
              <Calendar>USD</Calendar>
              <Convention>ModifiedFollowing</Convention>
              <TermConvention>ModifiedFollowing</TermConvention>
              <Rule>Forward</Rule>
            </Rules>
          </ScheduleData>
        </LegData>
      </FundingData>
    </TotalReturnSwapData>
  </Trade>
</Portfolio>