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

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<?xml version="1.0"?>
<Portfolio>
    <Trade id="INDEX_CDS_OPTION">
        <TradeType>IndexCreditDefaultSwapOption</TradeType>
        <Envelope>
            <CounterParty>001B456BCDEFGH67XY89</CounterParty>
            <NettingSetId>ABC1234</NettingSetId>
            <AdditionalFields>
                <party_id>549300A08LH2961IPN13</party_id>
                <valuation_date>2018-02-19</valuation_date>
            </AdditionalFields>
        </Envelope>
        <IndexCreditDefaultSwapOptionData>
            <KnockOut>N</KnockOut>
            <IndexTerm>5Y</IndexTerm>
            <OptionData>
                <LongShort>Long</LongShort>
                <OptionType>Call</OptionType>
                <Style>European</Style>
                <Settlement>Cash</Settlement>
                <PayOffAtExpiry>false</PayOffAtExpiry>
                <ExerciseDates>
                    <ExerciseDate>2016-08-03</ExerciseDate>
                </ExerciseDates>
            </OptionData>
            <IndexCreditDefaultSwapData>
                <CreditCurveId>RED:2I65BRHH6</CreditCurveId>
                <SettlesAccrual>Y</SettlesAccrual>
                <PaysAtDefaultTime>Y</PaysAtDefaultTime>
                <ProtectionStart>20160804</ProtectionStart>
                <UpfrontDate/>
                <UpfrontFee>0.0</UpfrontFee>
                <LegData>
                    <LegType>Fixed</LegType>
                    <Payer>true</Payer>
                    <Currency>USD</Currency>
                    <Notionals>
                        <Notional>10000000.000000</Notional>
                    </Notionals>
                    <DayCounter>A360</DayCounter>
                    <PaymentConvention>F</PaymentConvention>
                    <FixedLegData>
                        <Rates>
                            <Rate>0.01</Rate>
                        </Rates>
                    </FixedLegData>
                    <ScheduleData>
                        <Rules>
                            <StartDate>20160804</StartDate>
                            <EndDate>20210803</EndDate>
                            <Tenor>3M</Tenor>
                            <Calendar>US</Calendar>
                            <Convention>F</Convention>
                            <TermConvention>F</TermConvention>
                            <Rule>CDS2015</Rule>
                            <EndOfMonth/>
                            <FirstDate/>
                            <LastDate/>
                        </Rules>
                    </ScheduleData>
                </LegData>
            </IndexCreditDefaultSwapData>
            <Strike>106.36537422065</Strike>
            <StrikeType>Price</StrikeType>
        </IndexCreditDefaultSwapOptionData>
    </Trade>
</Portfolio>