cdm-sample-files.functions.business-event.execution.execution-basis-swap-func-input.json Maven / Gradle / Ivy
{
"instruction" : [ {
"primitiveInstruction" : {
"execution" : {
"product" : {
"identifier" : [ {
"identifier" : {
"value" : "InterestRate:IRSwap:Basis",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy"
}
},
"source" : "Other",
"meta" : {
"globalKey" : "aba3dd40"
}
} ],
"taxonomy" : [ {
"primaryAssetClass" : {
"value" : "InterestRate",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple"
}
}
}, {
"source" : "ISDA",
"value" : {
"name" : {
"value" : "InterestRate:IRSwap:Basis",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy"
}
}
}
}, {
"source" : "ISDA",
"productQualifier" : "InterestRate_IRSwap_Basis"
} ],
"economicTerms" : {
"payout" : [ {
"InterestRatePayout" : {
"payerReceiver" : {
"payer" : "Party1",
"receiver" : "Party2"
},
"priceQuantity" : {
"quantitySchedule" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "quantity-2"
}
},
"meta" : {
"globalKey" : "0"
}
},
"rateSpecification" : {
"FloatingRateSpecification" : {
"rateOption" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "FloatingRateIndex-1"
}
},
"meta" : {
"globalKey" : "0"
}
}
},
"dayCountFraction" : {
"value" : "ACT/365.FIXED"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
"unadjustedDate" : "2020-12-14",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "CATO"
} ],
"meta" : {
"globalKey" : "1f7359"
}
},
"meta" : {
"globalKey" : "365a772a"
}
},
"meta" : {
"globalKey" : "56fd0cdc"
}
},
"meta" : {
"globalKey" : "56fd0cdc"
}
},
"terminationDate" : {
"adjustableDate" : {
"unadjustedDate" : "2022-12-19",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "CATO"
} ],
"meta" : {
"globalKey" : "1f7359"
}
},
"meta" : {
"globalKey" : "365a772a"
}
},
"meta" : {
"globalKey" : "ad0f37f7"
}
},
"meta" : {
"globalKey" : "ad0f37f7"
}
},
"calculationPeriodDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "CATO"
} ],
"meta" : {
"globalKey" : "1f7359"
}
},
"meta" : {
"globalKey" : "365a772a"
}
},
"firstRegularPeriodStartDate" : "2021-03-15",
"stubPeriodType" : "LongInitial",
"calculationPeriodFrequency" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
"globalKey" : "80f2eff3"
},
"rollConvention" : "IMMCAD"
},
"meta" : {
"globalKey" : "e56e795c",
"externalKey" : "floatingCalcPeriodDates1"
}
},
"paymentDates" : {
"paymentFrequency" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
"globalKey" : "aa"
}
},
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "CATO"
} ],
"meta" : {
"globalKey" : "1f7359"
}
},
"meta" : {
"globalKey" : "365a772a"
}
},
"meta" : {
"globalKey" : "83fd0ba",
"externalKey" : "paymentDates1"
}
},
"resetDates" : {
"calculationPeriodDatesReference" : {
"globalReference" : "e56e795c",
"externalReference" : "floatingCalcPeriodDates1"
},
"resetRelativeTo" : "CalculationPeriodStartDate",
"fixingDates" : {
"periodMultiplier" : 0,
"period" : "D",
"meta" : {
"globalKey" : "b1077415"
},
"businessDayConvention" : "PRECEDING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "CATO"
} ],
"meta" : {
"globalKey" : "1f7359"
}
},
"dateRelativeTo" : {
"globalReference" : "1eccae0a",
"externalReference" : "resetDates1"
}
},
"resetFrequency" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
"globalKey" : "aa"
}
},
"resetDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "CATO"
} ],
"meta" : {
"globalKey" : "1f7359"
}
},
"meta" : {
"globalKey" : "365a772a"
}
},
"meta" : {
"globalKey" : "1eccae0a",
"externalKey" : "resetDates1"
}
}
},
"meta" : {
"globalKey" : "1cf637fb"
}
}, {
"InterestRatePayout" : {
"payerReceiver" : {
"payer" : "Party2",
"receiver" : "Party1"
},
"priceQuantity" : {
"quantitySchedule" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "quantity-1"
}
},
"meta" : {
"globalKey" : "0"
}
},
"rateSpecification" : {
"FloatingRateSpecification" : {
"rateOption" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "FloatingRateIndex-2"
}
},
"spreadSchedule" : {
"price" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "price-1"
}
}
},
"meta" : {
"globalKey" : "0"
}
}
},
"dayCountFraction" : {
"value" : "ACT/365.FIXED"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
"unadjustedDate" : "2020-12-14",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "CATO"
} ],
"meta" : {
"globalKey" : "1f7359"
}
},
"meta" : {
"globalKey" : "365a772a"
}
},
"meta" : {
"globalKey" : "56fd0cdc"
}
},
"meta" : {
"globalKey" : "56fd0cdc"
}
},
"terminationDate" : {
"adjustableDate" : {
"unadjustedDate" : "2022-12-19",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "CATO"
} ],
"meta" : {
"globalKey" : "1f7359"
}
},
"meta" : {
"globalKey" : "365a772a"
}
},
"meta" : {
"globalKey" : "ad0f37f7"
}
},
"meta" : {
"globalKey" : "ad0f37f7"
}
},
"calculationPeriodDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "CATO"
} ],
"meta" : {
"globalKey" : "1f7359"
}
},
"meta" : {
"globalKey" : "365a772a"
}
},
"firstRegularPeriodStartDate" : "2021-01-18",
"stubPeriodType" : "LongInitial",
"calculationPeriodFrequency" : {
"periodMultiplier" : 1,
"period" : "M",
"meta" : {
"globalKey" : "80f2e871"
},
"rollConvention" : "IMMCAD"
},
"meta" : {
"globalKey" : "1020ac37",
"externalKey" : "floatingCalcPeriodDates2"
}
},
"paymentDates" : {
"paymentFrequency" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
"globalKey" : "aa"
}
},
"firstPaymentDate" : "2021-03-15",
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "CATO"
} ],
"meta" : {
"globalKey" : "1f7359"
}
},
"meta" : {
"globalKey" : "365a772a"
}
},
"meta" : {
"globalKey" : "374f5535",
"externalKey" : "paymentDates2"
}
},
"resetDates" : {
"calculationPeriodDatesReference" : {
"globalReference" : "1020ac37",
"externalReference" : "floatingCalcPeriodDates2"
},
"resetRelativeTo" : "CalculationPeriodStartDate",
"fixingDates" : {
"periodMultiplier" : 0,
"period" : "D",
"meta" : {
"globalKey" : "b1077416"
},
"businessDayConvention" : "PRECEDING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "CATO"
} ],
"meta" : {
"globalKey" : "1f7359"
}
},
"dateRelativeTo" : {
"globalReference" : "16ef084a",
"externalReference" : "resetDates2"
}
},
"resetFrequency" : {
"periodMultiplier" : 1,
"period" : "M",
"meta" : {
"globalKey" : "6c"
}
},
"resetDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "CATO"
} ],
"meta" : {
"globalKey" : "1f7359"
}
},
"meta" : {
"globalKey" : "365a772a"
}
},
"meta" : {
"globalKey" : "16ef084a",
"externalKey" : "resetDates2"
}
},
"compoundingMethod" : "Flat"
},
"meta" : {
"globalKey" : "6db725d4"
}
} ]
},
"meta" : {
"globalKey" : "20d7e7b7"
}
},
"priceQuantity" : [ {
"quantity" : [ {
"value" : {
"value" : 634000000,
"unit" : {
"currency" : {
"value" : "CAD"
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "quantity-2"
} ]
}
} ],
"observable" : {
"value" : {
"Index" : {
"FloatingRateIndex" : {
"value" : {
"InterestRateIndex" : {
"identifier" : [ {
"identifier" : {
"value" : "CAD-BA-CDOR"
},
"identifierType" : "Other"
} ],
"assetClass" : "InterestRate",
"floatingRateIndex" : {
"value" : "CAD-BA-CDOR"
},
"indexTenor" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
"globalKey" : "aa"
}
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "FloatingRateIndex-1"
} ]
}
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "observable-1"
} ]
}
},
"meta" : {
"globalKey" : "2ee97500"
}
}, {
"price" : [ {
"value" : {
"value" : 0.00121,
"unit" : {
"currency" : {
"value" : "CAD"
}
},
"perUnitOf" : {
"currency" : {
"value" : "CAD"
}
},
"priceType" : "InterestRate",
"arithmeticOperator" : "Add"
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "price-1"
} ]
}
} ],
"quantity" : [ {
"value" : {
"value" : 634000000,
"unit" : {
"currency" : {
"value" : "CAD"
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "quantity-1"
} ]
}
} ],
"observable" : {
"value" : {
"Index" : {
"FloatingRateIndex" : {
"value" : {
"InterestRateIndex" : {
"identifier" : [ {
"identifier" : {
"value" : "CAD-BA-CDOR"
},
"identifierType" : "Other"
} ],
"assetClass" : "InterestRate",
"floatingRateIndex" : {
"value" : "CAD-BA-CDOR"
},
"indexTenor" : {
"periodMultiplier" : 1,
"period" : "M",
"meta" : {
"globalKey" : "6c"
}
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "FloatingRateIndex-2"
} ]
}
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "observable-2"
} ]
}
},
"meta" : {
"globalKey" : "f7fac640"
}
} ],
"counterparty" : [ {
"role" : "Party1",
"partyReference" : {
"globalReference" : "27b20a6a",
"externalReference" : "party1"
}
}, {
"role" : "Party2",
"partyReference" : {
"globalReference" : "cc892602",
"externalReference" : "party2"
}
} ],
"parties" : [ {
"partyId" : [ {
"identifier" : {
"value" : "COUNTERPARTY",
"meta" : {
"scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/party-id"
}
},
"meta" : {
"globalKey" : "27b20a6a"
}
} ],
"meta" : {
"globalKey" : "27b20a6a",
"externalKey" : "party1"
}
}, {
"partyId" : [ {
"identifier" : {
"value" : "LCHLGB22XXX",
"meta" : {
"scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/party-id"
}
},
"meta" : {
"globalKey" : "cc892602"
}
} ],
"meta" : {
"globalKey" : "cc892602",
"externalKey" : "party2"
}
} ],
"tradeDate" : {
"value" : "2017-12-18"
},
"tradeIdentifier" : [ {
"issuerReference" : {
"globalReference" : "cc892602",
"externalReference" : "party2"
},
"assignedIdentifier" : [ {
"identifier" : {
"value" : "LCH00023323008",
"meta" : {
"scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id"
}
},
"version" : 1
} ],
"meta" : {
"globalKey" : "ac313329"
}
} ]
}
}
} ],
"intent" : null,
"eventDate" : "2017-12-18",
"effectiveDate" : null
}
© 2015 - 2025 Weber Informatics LLC | Privacy Policy