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• Vanilla_IR_Swap.json

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result-json-files.ore-1-0-39.Vanilla_IR_Swap.json Maven / Gradle / Ivy

{
  "trade" : {
    "product" : {
      "taxonomy" : [ {
        "source" : "ISDA",
        "productQualifier" : "InterestRate_IRSwap_FixedFloat"
      } ],
      "economicTerms" : {
        "payout" : {
          "interestRatePayout" : [ {
            "priceQuantity" : {
              "quantitySchedule" : {
                "address" : {
                  "scope" : "DOCUMENT",
                  "value" : "quantity-2"
                }
              },
              "meta" : {
                "globalKey" : "0"
              }
            },
            "settlementTerms" : {
              "meta" : {
                "globalKey" : "9390c5e6"
              },
              "cashSettlementTerms" : [ {
                "valuationMethod" : {
                  "quotationAmount" : {
                    "unit" : {
                      "currency" : {
                        "value" : "EUR"
                      }
                    },
                    "meta" : {
                      "globalKey" : "10da2"
                    }
                  },
                  "minimumQuotationAmount" : {
                    "unit" : {
                      "currency" : {
                        "value" : "EUR"
                      }
                    },
                    "meta" : {
                      "globalKey" : "10da2"
                    }
                  }
                },
                "cashSettlementAmount" : {
                  "unit" : {
                    "currency" : {
                      "value" : "EUR"
                    }
                  },
                  "meta" : {
                    "globalKey" : "10da2"
                  }
                },
                "meta" : {
                  "globalKey" : "9390c5e6"
                }
              } ]
            },
            "rateSpecification" : {
              "FixedRateSpecification" : {
                "rateSchedule" : {
                  "price" : {
                    "address" : {
                      "scope" : "DOCUMENT",
                      "value" : "price-1"
                    }
                  }
                },
                "meta" : {
                  "globalKey" : "0"
                }
              }
            },
            "calculationPeriodDates" : {
              "calculationPeriodFrequency" : {
                "periodMultiplier" : 1,
                "meta" : {
                  "globalKey" : "1"
                }
              },
              "meta" : {
                "globalKey" : "1"
              }
            },
            "paymentDates" : {
              "paymentFrequency" : {
                "periodMultiplier" : 1,
                "meta" : {
                  "globalKey" : "1"
                }
              },
              "paymentDateSchedule" : {
                "interimPaymentDates" : [ {
                  "periodicDates" : {
                    "periodFrequency" : {
                      "periodMultiplier" : 1,
                      "meta" : {
                        "globalKey" : "1"
                      }
                    }
                  },
                  "meta" : {
                    "globalKey" : "1"
                  }
                } ]
              },
              "meta" : {
                "globalKey" : "1b4d8a0"
              }
            },
            "meta" : {
              "globalKey" : "416ec307"
            }
          }, {
            "priceQuantity" : {
              "quantitySchedule" : {
                "address" : {
                  "scope" : "DOCUMENT",
                  "value" : "quantity-1"
                }
              },
              "meta" : {
                "globalKey" : "0"
              }
            },
            "settlementTerms" : {
              "meta" : {
                "globalKey" : "9390c5e6"
              },
              "cashSettlementTerms" : [ {
                "valuationMethod" : {
                  "quotationAmount" : {
                    "unit" : {
                      "currency" : {
                        "value" : "EUR"
                      }
                    },
                    "meta" : {
                      "globalKey" : "10da2"
                    }
                  },
                  "minimumQuotationAmount" : {
                    "unit" : {
                      "currency" : {
                        "value" : "EUR"
                      }
                    },
                    "meta" : {
                      "globalKey" : "10da2"
                    }
                  }
                },
                "cashSettlementAmount" : {
                  "unit" : {
                    "currency" : {
                      "value" : "EUR"
                    }
                  },
                  "meta" : {
                    "globalKey" : "10da2"
                  }
                },
                "meta" : {
                  "globalKey" : "9390c5e6"
                }
              } ]
            },
            "rateSpecification" : {
              "FloatingRateSpecification" : {
                "spreadSchedule" : {
                  "price" : {
                    "address" : {
                      "scope" : "DOCUMENT",
                      "value" : "price-2"
                    }
                  }
                },
                "meta" : {
                  "globalKey" : "0"
                }
              }
            },
            "calculationPeriodDates" : {
              "calculationPeriodFrequency" : {
                "periodMultiplier" : 6,
                "meta" : {
                  "globalKey" : "6"
                }
              },
              "meta" : {
                "globalKey" : "6"
              }
            },
            "paymentDates" : {
              "paymentFrequency" : {
                "periodMultiplier" : 6,
                "meta" : {
                  "globalKey" : "6"
                }
              },
              "paymentDateSchedule" : {
                "interimPaymentDates" : [ {
                  "periodicDates" : {
                    "periodFrequency" : {
                      "periodMultiplier" : 6,
                      "meta" : {
                        "globalKey" : "6"
                      }
                    }
                  },
                  "meta" : {
                    "globalKey" : "6"
                  }
                } ]
              },
              "meta" : {
                "globalKey" : "a3d13c0"
              }
            },
            "meta" : {
              "globalKey" : "2f4d292c"
            }
          } ],
          "meta" : {
            "globalKey" : "9f2225f3"
          }
        }
      },
      "meta" : {
        "globalKey" : "9f2225f3"
      }
    },
    "tradeLot" : [ {
      "priceQuantity" : [ {
        "price" : [ {
          "value" : {
            "value" : 0.021,
            "unit" : {
              "currency" : {
                "value" : "EUR"
              }
            },
            "perUnitOf" : {
              "currency" : {
                "value" : "EUR"
              }
            },
            "priceType" : "InterestRate"
          },
          "meta" : {
            "location" : [ {
              "scope" : "DOCUMENT",
              "value" : "price-1"
            } ]
          }
        } ],
        "quantity" : [ {
          "value" : {
            "value" : 10000000.000000,
            "unit" : {
              "currency" : {
                "value" : "EUR"
              }
            }
          },
          "meta" : {
            "location" : [ {
              "scope" : "DOCUMENT",
              "value" : "quantity-2"
            } ]
          }
        } ],
        "meta" : {
          "globalKey" : "adfadf41"
        }
      }, {
        "price" : [ {
          "value" : {
            "value" : 0.000000,
            "unit" : {
              "currency" : {
                "value" : "EUR"
              }
            },
            "perUnitOf" : {
              "currency" : {
                "value" : "EUR"
              }
            },
            "priceType" : "InterestRate",
            "arithmeticOperator" : "Add"
          },
          "meta" : {
            "location" : [ {
              "scope" : "DOCUMENT",
              "value" : "price-2"
            } ]
          }
        } ],
        "quantity" : [ {
          "value" : {
            "value" : 10000000.000000,
            "unit" : {
              "currency" : {
                "value" : "EUR"
              }
            }
          },
          "meta" : {
            "location" : [ {
              "scope" : "DOCUMENT",
              "value" : "quantity-1"
            } ]
          }
        } ],
        "observable" : {
          "value" : {
            "Index" : {
              "FloatingRateIndex" : {
                "value" : {
                  "InterestRateIndex" : {
                    "floatingRateIndex" : {
                      "value" : "EUR-6M EURIBOR SWAP-CME vs LCH-ICAP"
                    }
                  }
                },
                "meta" : {
                  "location" : [ {
                    "scope" : "DOCUMENT",
                    "value" : "FloatingRateIndex-1"
                  } ]
                }
              }
            }
          },
          "meta" : {
            "location" : [ {
              "scope" : "DOCUMENT",
              "value" : "observable-1"
            } ]
          }
        },
        "meta" : {
          "globalKey" : "a50eee9b"
        }
      } ]
    } ],
    "counterparty" : [ {
      "role" : "Party2",
      "partyReference" : {
        "value" : {
          "partyId" : [ {
            "identifier" : {
              "value" : "001B456BCDEFGH67XY89"
            },
            "meta" : {
              "globalKey" : "faea1aa4"
            }
          }, {
            "identifier" : {
              "value" : "549300A08LH2961IPN13"
            },
            "meta" : {
              "globalKey" : "f610acbb"
            }
          } ],
          "meta" : {
            "globalKey" : "dedeae5f"
          }
        }
      }
    } ],
    "party" : [ {
      "partyId" : [ {
        "identifier" : {
          "value" : "001B456BCDEFGH67XY89"
        },
        "meta" : {
          "globalKey" : "faea1aa4"
        }
      }, {
        "identifier" : {
          "value" : "549300A08LH2961IPN13"
        },
        "meta" : {
          "globalKey" : "f610acbb"
        }
      } ],
      "meta" : {
        "globalKey" : "dedeae5f"
      }
    } ],
    "meta" : {
      "globalKey" : "6a7afa7a"
    }
  },
  "meta" : {
    "globalKey" : "6a7afa7a"
  }
}