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

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<Portfolio>
<Trade id="Fx_Vol_Swap">
    <TradeType>FxVarianceSwap</TradeType>
    <Envelope>
        <CounterParty>001B456BCDEFGH67XY89</CounterParty>
        <NettingSetId>ABC1234</NettingSetId>
        <AdditionalFields>
            <party_id>549300A08LH2961IPN13</party_id>
            <valuation_date>2018-02-19</valuation_date>
        </AdditionalFields>
    </Envelope>
    <VarianceSwapData>
        <StartDate>2018-10-31</StartDate>
        <EndDate>2019-05-05</EndDate>
        <Currency>USD</Currency>
        <Underlying>
            <Type>FX</Type>
            <Name>ECB-EUR-USD</Name>
        </Underlying>
        <LongShort>Long</LongShort>
        <Strike>0.02</Strike>
        <Notional>50000</Notional>
        <Calendar>US</Calendar>
        <MomentType>Volatility</MomentType>
    </VarianceSwapData>
</Trade>
</Portfolio>