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

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<Portfolio>
    <Trade id="Swap_20y">
        <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>Fixed</LegType>
                <Payer>false</Payer>
                <Currency>EUR</Currency>
                <Notionals>
                    <Notional>10000000.000000</Notional>
                </Notionals>
                <DayCounter>A360</DayCounter>
                <PaymentConvention>MF</PaymentConvention>
                <FixedLegData>
                    <Rates>
                        <Rate>0.021</Rate>
                    </Rates>
                </FixedLegData>
                <ScheduleData>
                    <Rules>
                        <StartDate>20160301</StartDate>
                        <EndDate>20360301</EndDate>
                        <Tenor>1Y</Tenor>
                        <Calendar>TARGET</Calendar>
                        <Convention>MF</Convention>
                        <TermConvention>MF</TermConvention>
                        <Rule>Forward</Rule>
                        <EndOfMonth/>
                        <FirstDate/>
                        <LastDate/>
                    </Rules>
                </ScheduleData>
            </LegData>
            <LegData>
                <LegType>Floating</LegType>
                <Payer>true</Payer>
                <Currency>EUR</Currency>
                <Notionals>
                    <Notional>10000000.000000</Notional>
                </Notionals>
                <DayCounter>A360</DayCounter>
                <PaymentConvention>MF</PaymentConvention>
                <FloatingLegData>
                    <Index>EUR-EURIBOR-6M</Index>
                    <Spreads>
                        <Spread>0.000000</Spread>
                    </Spreads>
                    <IsInArrears>false</IsInArrears>
                    <FixingDays>2</FixingDays>
                </FloatingLegData>
                <ScheduleData>
                    <Rules>
                        <StartDate>20160301</StartDate>
                        <EndDate>20360301</EndDate>
                        <Tenor>6M</Tenor>
                        <Calendar>TARGET</Calendar>
                        <Convention>MF</Convention>
                        <TermConvention>MF</TermConvention>
                        <Rule>Forward</Rule>
                        <EndOfMonth/>
                        <FirstDate/>
                        <LastDate/>
                    </Rules>
                </ScheduleData>
            </LegData>
        </SwapData>
    </Trade>
</Portfolio>