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

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<Portfolio>
<Trade id="INDEX_CDS">
    <TradeType>IndexCreditDefaultSwap</TradeType>
    <Envelope>
        <CounterParty>001B456BCDEFGH67XY89</CounterParty>
        <NettingSetId>ABC1234</NettingSetId>
        <AdditionalFields>
            <party_id>549300A08LH2961IPN13</party_id>
            <valuation_date>2018-02-19</valuation_date>
        </AdditionalFields>
    </Envelope>
    <IndexCreditDefaultSwapData>
        <CreditCurveId>RED:2I65BZDM1</CreditCurveId>
        <SettlesAccrual>Y</SettlesAccrual>
        <PaysAtDefaultTime>Y</PaysAtDefaultTime>
        <ProtectionStart>20160206</ProtectionStart>
        <UpfrontDate>20160208</UpfrontDate>
        <UpfrontFee>0.0</UpfrontFee>
        <LegData>
            <LegType>Fixed</LegType>
            <Payer>true</Payer>
            <Currency>USD</Currency>
            <Notionals>
                <Notional>300000.000000</Notional>
            </Notionals>
            <DayCounter>A360</DayCounter>
            <PaymentConvention>F</PaymentConvention>
            <FixedLegData>
                <Rates>
                    <Rate>0.01</Rate>
                </Rates>
            </FixedLegData>
            <ScheduleData>
                <Rules>
                    <StartDate>20160205</StartDate>
                    <EndDate>20260205</EndDate>
                    <Tenor>3M</Tenor>
                    <Calendar>US</Calendar>
                    <Convention>F</Convention>
                    <TermConvention>F</TermConvention>
                    <Rule>CDS2015</Rule>
                    <EndOfMonth/>
                    <FirstDate/>
                    <LastDate/>
                </Rules>
            </ScheduleData>
        </LegData>
    </IndexCreditDefaultSwapData>
 </Trade>
</Portfolio>