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

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<Trade id="AsianBasketOption#1">
  <TradeType>ScriptedTrade</TradeType>
  <Envelope>
    <CounterParty>CPTY_A</CounterParty>
    <NettingSetId>ABC1234</NettingSetId>
    <AdditionalFields>
        <party_id>549300A08LH2961IPN13</party_id>
        <valuation_date>2019-07-28</valuation_date>
    </AdditionalFields>
  </Envelope>
  <AsianBasketOptionData>
    <Expiry type="event">2020-02-15</Expiry>
    <Settlement type="event">2020-02-20</Settlement>
    <ObservationDates type="event">
      <ScheduleData>
        <Rules>
          <StartDate>2019-02-06</StartDate>
          <EndDate>2020-02-06</EndDate>
          <Tenor>1D</Tenor>
          <Calendar>US</Calendar>
          <Convention>F</Convention>
          <TermConvention>F</TermConvention>
          <Rule>Forward</Rule>
        </Rules>
      </ScheduleData>
    </ObservationDates>
    <PutCall type="optionType">Call</PutCall>
    <LongShort type="longShort">Long</LongShort>
    <Notional type="number">1</Notional>
    <Strike type="number">5000</Strike>
    <Underlyings type="index">
      <Value>EQ-SP5-USD</Value>
      <Value>EQ-STOXX50E-USD</Value>
    </Underlyings>
    <Weights type="number">
      <Value>1.0</Value>
      <Value>1.0</Value>
    </Weights>
    <PayCcy type="currency">USD</PayCcy>
  </AsianBasketOptionData>
  <!--
  <ScriptedTradeData>
    <ScriptName>AsianBasketOption</ScriptName>
    <Data>
      <Event>
        <Name>Expiry</Name>
        <Value>2020-02-15</Value>
      </Event>
      <Event>
        <Name>Settlement</Name>
        <Value>2020-02-20</Value>
      </Event>
      <Event>
        <Name>ObservationDates</Name>
        <ScheduleData>
          <Rules>
           <StartDate>2019-02-06</StartDate>
           <EndDate>2020-02-06</EndDate>
           <Tenor>1D</Tenor>
           <Calendar>US</Calendar>
           <Convention>F</Convention>
           <Rule>Forward</Rule>
         </Rules>
       </ScheduleData>
      </Event>      
      <Number>
        <Name>PutCall</Name>
        <Value>1</Value>
      </Number>
      <Number>
	<Name>LongShort</Name>
	<Value>1</Value>
      </Number>
      <Number>
        <Name>Notional</Name>
        <Value>1</Value>
      </Number>
      <Number>
        <Name>Strike</Name>
        <Value>5000</Value>
      </Number>
      <Index>
        <Name>Underlyings</Name>
        <Values>
          <Value>EQ-SP5-USD</Value>
          <Value>EQ-STOXX50E-USD</Value>
        </Values>
      </Index>
      <Number>
        <Name>Weights</Name>
        <Values>
          <Value>1.0</Value>
          <Value>1.0</Value>
        </Values>
      </Number>
      <Currency>
        <Name>PayCcy</Name>
        <Value>USD</Value>
      </Currency>
    </Data>
    </ScriptedTradeData>
    -->
</Trade>