cdm-sample-files.functions.business-event.contract-formation.contract-formation-swaption-func-input.json Maven / Gradle / Ivy
{
"instruction" : [ {
"before" : {
"value" : {
"trade" : {
"product" : {
"taxonomy" : [ {
"source" : "ISDA",
"productQualifier" : "InterestRate_Option_Swaption"
} ],
"economicTerms" : {
"payout" : {
"optionPayout" : [ {
"payerReceiver" : {
"payer" : "Party2",
"receiver" : "Party1"
},
"buyerSeller" : {
"buyer" : "Party1",
"seller" : "Party2"
},
"underlier" : {
"Product" : {
"NonTransferableProduct" : {
"taxonomy" : [ {
"source" : "ISDA",
"productQualifier" : "InterestRate_IRSwap_FixedFloat"
} ],
"economicTerms" : {
"payout" : {
"interestRatePayout" : [ {
"payerReceiver" : {
"payer" : "Party1",
"receiver" : "Party2"
},
"priceQuantity" : {
"quantitySchedule" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "quantity-2"
}
},
"meta" : {
"globalKey" : "0"
}
},
"rateSpecification" : {
"FixedRateSpecification" : {
"rateSchedule" : {
"price" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "price-1"
}
}
},
"meta" : {
"globalKey" : "0"
}
}
},
"dayCountFraction" : {
"value" : "30/360"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
"unadjustedDate" : "2001-08-30",
"dateAdjustments" : {
"businessDayConvention" : "NONE",
"meta" : {
"globalKey" : "24a738"
}
},
"meta" : {
"globalKey" : "eae921d6"
}
},
"meta" : {
"globalKey" : "eae921d6"
}
},
"terminationDate" : {
"adjustableDate" : {
"unadjustedDate" : "2006-08-30",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d",
"externalKey" : "accrualBusinessCenters0"
}
},
"meta" : {
"globalKey" : "365baaee"
}
},
"meta" : {
"globalKey" : "9ead9b90"
}
},
"meta" : {
"globalKey" : "9ead9b90"
}
},
"calculationPeriodDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "20a71d",
"externalReference" : "accrualBusinessCenters0"
},
"meta" : {
"globalKey" : "622268e1"
}
},
"meta" : {
"globalKey" : "985d6cb2"
}
},
"calculationPeriodFrequency" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "17984"
},
"rollConvention" : "30"
},
"meta" : {
"globalKey" : "d6a5a890",
"externalKey" : "CalcPeriodDates0"
}
},
"paymentDates" : {
"paymentFrequency" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "78"
}
},
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d",
"externalKey" : "paymentBusinessCenters0"
}
},
"meta" : {
"globalKey" : "365baaee"
}
},
"meta" : {
"globalKey" : "b34971cc"
}
},
"meta" : {
"globalKey" : "9e600b11"
}
}, {
"payerReceiver" : {
"payer" : "Party2",
"receiver" : "Party1"
},
"priceQuantity" : {
"quantitySchedule" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "quantity-1"
}
},
"meta" : {
"globalKey" : "0"
}
},
"rateSpecification" : {
"FloatingRateSpecification" : {
"rateOption" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "FloatingRateIndex-1"
}
},
"meta" : {
"globalKey" : "0"
}
}
},
"dayCountFraction" : {
"value" : "ACT/360"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
"unadjustedDate" : "2001-08-30",
"dateAdjustments" : {
"businessDayConvention" : "NONE",
"meta" : {
"globalKey" : "24a738"
}
},
"meta" : {
"globalKey" : "eae921d6"
}
},
"meta" : {
"globalKey" : "eae921d6"
}
},
"terminationDate" : {
"adjustableDate" : {
"unadjustedDate" : "2006-08-30",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d",
"externalKey" : "accrualBusinessCenters1"
}
},
"meta" : {
"globalKey" : "365baaee"
}
},
"meta" : {
"globalKey" : "9ead9b90"
}
},
"meta" : {
"globalKey" : "9ead9b90"
}
},
"calculationPeriodDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "20a71d",
"externalReference" : "accrualBusinessCenters1"
},
"meta" : {
"globalKey" : "622268e2"
}
},
"meta" : {
"globalKey" : "985d6cb3"
}
},
"calculationPeriodFrequency" : {
"periodMultiplier" : 6,
"period" : "M",
"meta" : {
"globalKey" : "18ad5"
},
"rollConvention" : "30"
},
"meta" : {
"globalKey" : "d6b3d162",
"externalKey" : "CalcPeriodDates1"
}
},
"paymentDates" : {
"paymentFrequency" : {
"periodMultiplier" : 6,
"period" : "M",
"meta" : {
"globalKey" : "107"
}
},
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d",
"externalKey" : "paymentBusinessCenters1"
}
},
"meta" : {
"globalKey" : "365baaee"
}
},
"meta" : {
"globalKey" : "3fe48b1b"
}
},
"resetDates" : {
"calculationPeriodDatesReference" : {
"globalReference" : "d6b3d162",
"externalReference" : "CalcPeriodDates1"
},
"resetRelativeTo" : "CalculationPeriodStartDate",
"fixingDates" : {
"periodMultiplier" : -2,
"period" : "D",
"meta" : {
"globalKey" : "a5cb919"
},
"dayType" : "Business",
"businessDayConvention" : "NONE",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d",
"externalKey" : "fixingBusinessCenters0"
}
},
"dateRelativeTo" : {
"globalReference" : "3ab5f4ad",
"externalReference" : "resetDates0"
}
},
"resetFrequency" : {
"periodMultiplier" : 6,
"period" : "M",
"meta" : {
"globalKey" : "107"
}
},
"resetDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "20a71d",
"externalReference" : "paymentBusinessCenters1"
},
"meta" : {
"globalKey" : "e30c2739"
}
},
"meta" : {
"globalKey" : "19472b0a"
}
},
"meta" : {
"globalKey" : "3ab5f4ad",
"externalKey" : "resetDates0"
}
},
"meta" : {
"globalKey" : "c5cfdca9"
}
} ],
"meta" : {
"globalKey" : "6b0bb378"
}
}
},
"meta" : {
"globalKey" : "6b0bb378"
}
}
}
},
"exerciseTerms" : {
"style" : "European",
"expirationDate" : [ {
"adjustableDate" : {
"unadjustedDate" : "2001-08-28",
"dateAdjustments" : {
"businessDayConvention" : "FOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
}, {
"value" : "GBLO"
} ],
"meta" : {
"globalKey" : "4158421"
}
},
"meta" : {
"globalKey" : "da3b6050"
}
},
"meta" : {
"globalKey" : "770e7eb4"
}
},
"meta" : {
"globalKey" : "770e7eb4"
}
} ],
"earliestExerciseTime" : {
"hourMinuteTime" : "09:00:00",
"businessCenter" : {
"value" : "BEBR"
}
},
"expirationTime" : {
"hourMinuteTime" : "11:00:00",
"businessCenter" : {
"value" : "BEBR"
}
},
"exerciseProcedure" : {
"manualExercise" : {
"exerciseNotice" : {
"exerciseNoticeGiver" : "Seller",
"businessCenter" : {
"value" : "GBLO"
}
}
},
"followUpConfirmation" : true
},
"meta" : {
"globalKey" : "6db090ee"
}
},
"meta" : {
"globalKey" : "c42e75b4"
}
} ],
"meta" : {
"globalKey" : "c42e75b4"
}
},
"calculationAgent" : {
"calculationAgentParty" : "CalculationAgentIndependent"
}
},
"meta" : {
"globalKey" : "beb3c19e"
}
},
"tradeLot" : [ {
"priceQuantity" : [ {
"price" : [ {
"value" : {
"value" : 0.05,
"unit" : {
"currency" : {
"value" : "EUR"
}
},
"perUnitOf" : {
"currency" : {
"value" : "EUR"
}
},
"priceType" : "InterestRate"
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "price-1"
} ]
}
} ],
"quantity" : [ {
"value" : {
"value" : 100000000,
"unit" : {
"currency" : {
"value" : "EUR"
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "quantity-2"
} ]
}
} ],
"meta" : {
"globalKey" : "d62a0181"
}
}, {
"quantity" : [ {
"value" : {
"value" : 100000000,
"unit" : {
"currency" : {
"value" : "EUR"
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "quantity-1"
} ]
}
} ],
"observable" : {
"value" : {
"Index" : {
"FloatingRateIndex" : {
"value" : {
"InterestRateIndex" : {
"identifier" : [ {
"identifier" : {
"value" : "EUR-EURIBOR-Telerate"
},
"identifierType" : "Other"
} ],
"assetClass" : "InterestRate",
"floatingRateIndex" : {
"value" : "EUR-EURIBOR-Telerate"
},
"indexTenor" : {
"periodMultiplier" : 6,
"period" : "M",
"meta" : {
"globalKey" : "107"
}
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "FloatingRateIndex-1"
} ]
}
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "observable-1"
} ]
}
},
"meta" : {
"globalKey" : "4cfe9a85"
}
} ]
} ],
"counterparty" : [ {
"role" : "Party1",
"partyReference" : {
"globalReference" : "46e3b435",
"externalReference" : "party1"
}
}, {
"role" : "Party2",
"partyReference" : {
"globalReference" : "46e3b454",
"externalReference" : "party2"
}
} ],
"ancillaryParty" : [ {
"role" : "CalculationAgentIndependent",
"partyReference" : [ {
"globalReference" : "46e3b454",
"externalReference" : "party2"
} ]
} ],
"tradeIdentifier" : [ {
"issuerReference" : {
"globalReference" : "46e3b435",
"externalReference" : "party1"
},
"assignedIdentifier" : [ {
"identifier" : {
"value" : "123",
"meta" : {
"scheme" : "http://www.partyA.com/trade-id"
}
},
"version" : 1
} ],
"meta" : {
"globalKey" : "19ec4c9a"
}
} ],
"tradeDate" : {
"value" : "2000-08-30",
"meta" : {
"globalKey" : "3e821e"
}
},
"party" : [ {
"partyId" : [ {
"identifier" : {
"value" : "party A",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/iso9362"
}
},
"identifierType" : "BIC",
"meta" : {
"globalKey" : "46e3b435"
}
} ],
"meta" : {
"globalKey" : "46e3b435",
"externalKey" : "party1"
}
}, {
"partyId" : [ {
"identifier" : {
"value" : "party B",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/iso9362"
}
},
"identifierType" : "BIC",
"meta" : {
"globalKey" : "46e3b454"
}
} ],
"meta" : {
"globalKey" : "46e3b454",
"externalKey" : "party2"
}
} ],
"meta" : {
"globalKey" : "aed062c9"
}
},
"transferHistory" : [ {
"transfer" : {
"quantity" : {
"value" : 100000,
"unit" : {
"currency" : {
"value" : "EUR"
}
}
},
"asset" : {
"Cash" : {
"identifier" : [ {
"identifier" : {
"value" : "EUR"
},
"identifierType" : "CurrencyCode"
} ]
}
},
"payerReceiver" : {
"payerPartyReference" : {
"globalReference" : "46e3b435",
"externalReference" : "party1"
},
"receiverPartyReference" : {
"globalReference" : "46e3b454",
"externalReference" : "party2"
}
},
"settlementDate" : {
"unadjustedDate" : "2000-08-30",
"dateAdjustments" : {
"businessDayConvention" : "FOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "EUTA"
} ],
"meta" : {
"globalKey" : "20a71d"
}
},
"meta" : {
"globalKey" : "211dc30c"
}
}
},
"transferExpression" : {
"priceTransfer" : "Premium"
}
},
"meta" : {
"globalKey" : "fe378a4a"
}
} ],
"meta" : {
"globalKey" : "a658b1e1"
}
}
}
} ],
"intent" : "ContractFormation",
"eventDate" : "2000-08-30",
"effectiveDate" : null
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