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cdm-sample-files.functions.business-event.index-transition.index-transition-vanilla-swap-func.md Maven / Gradle / Ivy

### Index Transition Business Event

####  Vanilla Swap

Before Trade
- Vanilla swap created on `2000-04-03`:
   - Between parties `54930084UKLVMY22DS16` and `48750084UKLVTR22DS78`.
   - Trade Identifier `UITD7895394`
   - Notional of `75000000 EUR`
   - Fixed rate of `0.0525`
   - Spread of `0.001` on floating rate index `EUR-EURIBOR-Telerate`, index tenor `6M`

After Trade
- Index transition performed on `2000-10-01`:
    - Replace floating rate index `EUR-EURIBOR-Telerate` with `EUR-EURIBOR-Reuters`, and apply spread adjustment of `0.003`, resulting in spread of `0.004`
    - Effective date of `2000-10-03`