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

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<Portfolio>
    <Trade id="Zero_fixed_with_zerocouponleg">
        <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>ZeroCouponFixed</LegType>
                <Payer>false</Payer>
                <Currency>USD</Currency>
                <Notionals>
                    <Notional>184500.0000</Notional>
                </Notionals>
                <DayCounter>A360</DayCounter>
                <PaymentConvention>MF</PaymentConvention>
                <ScheduleData>
                    <Rules>
                        <StartDate>2020-01-14</StartDate>
                        <EndDate>2020-07-14</EndDate>
                        <Tenor>3M</Tenor>
                        <Calendar>USD</Calendar>
                        <Convention>MF</Convention>
                        <TermConvention>MF</TermConvention>
                        <Rule>Zero</Rule>
                    </Rules>
                </ScheduleData>
                <ZeroCouponFixedLegData>
                    <Rates>
                        <Rate>0.016500</Rate>
                    </Rates>
                    <Compounding>Compounded</Compounding>
                </ZeroCouponFixedLegData>        
            </LegData>
        </SwapData>
    </Trade>
</Portfolio>