cdm-sample-files.functions.business-event.quantity-change.full-termination-vanilla-swap-func-input.json Maven / Gradle / Ivy
{
"instruction" : [ {
"primitiveInstruction" : {
"quantityChange" : {
"change" : [ {
"quantity" : [ {
"value" : {
"value" : 10000,
"unit" : {
"currency" : {
"value" : "USD",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/iso4217"
}
}
}
}
} ]
} ],
"direction" : "Decrease"
},
"transfer" : {
"transferState" : [ {
"transfer" : {
"quantity" : {
"value" : 2000.0,
"unit" : {
"currency" : {
"value" : "USD",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/iso4217"
}
}
}
},
"payerReceiver" : {
"payerPartyReference" : {
"globalReference" : "20d01c41",
"externalReference" : "party1"
},
"receiverPartyReference" : {
"globalReference" : "67e3087d",
"externalReference" : "party2"
}
},
"settlementDate" : {
"adjustedDate" : {
"value" : "2018-04-01"
}
},
"transferExpression" : {
"priceTransfer" : "Termination"
}
}
} ]
}
},
"before" : {
"value" : {
"trade" : {
"product" : {
"taxonomy" : [ {
"primaryAssetClass" : {
"value" : "InterestRate"
}
}, {
"source" : "ISDA",
"value" : {
"name" : {
"value" : "InterestRate:IRSwap:FixedFloat",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy"
}
}
}
}, {
"source" : "ISDA",
"productQualifier" : "InterestRate_IRSwap_FixedFloat"
} ],
"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/360"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
"unadjustedDate" : "2014-04-03",
"dateAdjustments" : {
"businessDayConvention" : "NONE",
"meta" : {
"globalKey" : "24a738"
}
},
"meta" : {
"globalKey" : "ec0f7dc0"
}
},
"meta" : {
"globalKey" : "ec0f7dc0"
}
},
"terminationDate" : {
"adjustableDate" : {
"unadjustedDate" : "2025-04-01",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "USNY"
} ],
"meta" : {
"globalKey" : "27e4e9",
"externalKey" : "primaryBusinessCenters"
}
},
"meta" : {
"globalKey" : "3662e8ba"
}
},
"meta" : {
"globalKey" : "6d96fd32"
}
},
"meta" : {
"globalKey" : "6d96fd32"
}
},
"calculationPeriodDatesAdjustments" : {
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"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "27e4e9",
"externalReference" : "primaryBusinessCenters"
},
"meta" : {
"globalKey" : "eb13047c"
}
},
"meta" : {
"globalKey" : "214e084d"
}
},
"calculationPeriodFrequency" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
"globalKey" : "204f"
},
"rollConvention" : "8"
},
"meta" : {
"globalKey" : "8238af6a",
"externalKey" : "floatingCalcPeriodDates"
}
},
"paymentDates" : {
"paymentFrequency" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
"globalKey" : "aa"
}
},
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "27e4e9",
"externalReference" : "primaryBusinessCenters"
},
"meta" : {
"globalKey" : "eb13047c"
}
},
"meta" : {
"globalKey" : "214e084d"
}
},
"meta" : {
"globalKey" : "f33361dd"
}
},
"resetDates" : {
"calculationPeriodDatesReference" : {
"globalReference" : "8238af6a",
"externalReference" : "floatingCalcPeriodDates"
},
"resetRelativeTo" : "CalculationPeriodStartDate",
"fixingDates" : {
"periodMultiplier" : -2,
"period" : "D",
"meta" : {
"globalKey" : "eff6d356"
},
"dayType" : "Business",
"businessDayConvention" : "NONE",
"businessCenters" : {
"businessCenter" : [ {
"value" : "GBLO"
} ],
"meta" : {
"globalKey" : "21479e"
}
},
"dateRelativeTo" : {
"globalReference" : "924ca9c3",
"externalReference" : "resetDates"
}
},
"resetFrequency" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
"globalKey" : "aa"
}
},
"resetDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "27e4e9",
"externalReference" : "primaryBusinessCenters"
},
"meta" : {
"globalKey" : "eb13047c"
}
},
"meta" : {
"globalKey" : "214e084d"
}
},
"meta" : {
"globalKey" : "924ca9c3",
"externalKey" : "resetDates"
}
}
},
"meta" : {
"globalKey" : "b768f9eb"
}
}, {
"InterestRatePayout" : {
"payerReceiver" : {
"payer" : "Party2",
"receiver" : "Party1"
},
"priceQuantity" : {
"quantitySchedule" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "quantity-1"
}
},
"meta" : {
"globalKey" : "0"
}
},
"rateSpecification" : {
"FixedRateSpecification" : {
"rateSchedule" : {
"price" : {
"address" : {
"scope" : "DOCUMENT",
"value" : "price-1"
}
}
},
"meta" : {
"globalKey" : "0"
}
}
},
"dayCountFraction" : {
"value" : "30E/360"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
"unadjustedDate" : "2018-04-03",
"dateAdjustments" : {
"businessDayConvention" : "NONE",
"meta" : {
"globalKey" : "24a738"
}
},
"meta" : {
"globalKey" : "ec0f7dc0"
}
},
"meta" : {
"globalKey" : "ec0f7dc0"
}
},
"terminationDate" : {
"adjustableDate" : {
"unadjustedDate" : "2025-04-01",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "27e4e9",
"externalReference" : "primaryBusinessCenters"
},
"meta" : {
"globalKey" : "eb13047c"
}
},
"meta" : {
"globalKey" : "214e084d"
}
},
"meta" : {
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}
},
"meta" : {
"globalKey" : "58821cc5"
}
},
"calculationPeriodDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "27e4e9",
"externalReference" : "primaryBusinessCenters"
},
"meta" : {
"globalKey" : "eb13047c"
}
},
"meta" : {
"globalKey" : "214e084d"
}
},
"calculationPeriodFrequency" : {
"periodMultiplier" : 6,
"period" : "M",
"meta" : {
"globalKey" : "2b92"
},
"rollConvention" : "8"
},
"meta" : {
"globalKey" : "da8c707a",
"externalKey" : "fixedCalcPeriodDates"
}
},
"paymentDates" : {
"paymentFrequency" : {
"periodMultiplier" : 6,
"period" : "M",
"meta" : {
"globalKey" : "107"
}
},
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "27e4e9",
"externalReference" : "primaryBusinessCenters"
},
"meta" : {
"globalKey" : "eb13047c"
}
},
"meta" : {
"globalKey" : "214e084d"
}
},
"meta" : {
"globalKey" : "2ad6e87a"
}
}
},
"meta" : {
"globalKey" : "dee3a99e"
}
} ],
"nonStandardisedTerms" : false
},
"meta" : {
"globalKey" : "aaddb6fe"
}
},
"tradeLot" : [ {
"priceQuantity" : [ {
"quantity" : [ {
"value" : {
"value" : 10000,
"unit" : {
"currency" : {
"value" : "USD",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/iso4217"
}
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "quantity-2"
} ]
}
} ],
"observable" : {
"value" : {
"Index" : {
"FloatingRateIndex" : {
"value" : {
"InterestRateIndex" : {
"identifier" : [ {
"identifier" : {
"value" : "USD-LIBOR-BBA"
},
"identifierType" : "Other"
} ],
"assetClass" : "InterestRate",
"floatingRateIndex" : {
"value" : "USD-LIBOR-BBA"
},
"indexTenor" : {
"periodMultiplier" : 3,
"period" : "M",
"meta" : {
"globalKey" : "aa"
}
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "FloatingRateIndex-1"
} ]
}
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "observable-1"
} ]
}
},
"meta" : {
"globalKey" : "f901da98"
}
}, {
"price" : [ {
"value" : {
"value" : 0.0253,
"unit" : {
"currency" : {
"value" : "USD",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/iso4217"
}
}
},
"perUnitOf" : {
"currency" : {
"value" : "USD",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/iso4217"
}
}
},
"priceType" : "InterestRate"
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "price-1"
} ]
}
} ],
"quantity" : [ {
"value" : {
"value" : 10000,
"unit" : {
"currency" : {
"value" : "USD",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/iso4217"
}
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "quantity-1"
} ]
}
} ],
"meta" : {
"globalKey" : "d923cb70"
}
} ]
} ],
"counterparty" : [ {
"role" : "Party1",
"partyReference" : {
"globalReference" : "20d01c41",
"externalReference" : "party1"
}
}, {
"role" : "Party2",
"partyReference" : {
"globalReference" : "67e3087d",
"externalReference" : "party2"
}
} ],
"tradeIdentifier" : [ {
"issuer" : {
"value" : "1031234567",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier"
}
},
"assignedIdentifier" : [ {
"identifier" : {
"value" : "LEI1RPT0001KKKK",
"meta" : {
"scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier"
}
}
} ],
"meta" : {
"globalKey" : "88f03f2f"
},
"identifierType" : "UniqueTransactionIdentifier"
} ],
"tradeDate" : {
"value" : "2018-04-01",
"meta" : {
"globalKey" : "3ed88c"
}
},
"party" : [ {
"partyId" : [ {
"identifier" : {
"value" : "5493001RKR55V4X61F71",
"meta" : {
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}
},
"identifierType" : "LEI",
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}
}, {
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"value" : "LEI1RPT0001",
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}
},
"identifierType" : "LEI"
} ],
"name" : {
"value" : "Bank X"
},
"businessUnit" : [ {
"name" : "NY Swaps Desk",
"meta" : {
"globalKey" : "5c10b72e",
"externalKey" : "desk1"
}
} ],
"person" : [ {
"personId" : [ {
"value" : {
"identifier" : {
"value" : "jjones"
},
"meta" : {
"globalKey" : "baeb8c0d"
}
}
} ],
"firstName" : "jjone",
"meta" : {
"globalKey" : "69244867",
"externalKey" : "trader"
}
} ],
"meta" : {
"globalKey" : "20d01c41",
"externalKey" : "party1"
}
}, {
"partyId" : [ {
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}
},
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}
}, {
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}
},
"identifierType" : "LEI"
} ],
"name" : {
"value" : "Bank Y"
},
"meta" : {
"globalKey" : "67e3087d",
"externalKey" : "party2"
}
} ],
"partyRole" : [ {
"partyReference" : {
"globalReference" : "a3344cf2",
"externalReference" : "clearing-svc"
},
"role" : "ClearingOrganization",
"ownershipPartyReference" : {
"globalReference" : "20d01c41",
"externalReference" : "party1"
}
}, {
"partyReference" : {
"globalReference" : "cce42f3b",
"externalReference" : "broker1"
},
"role" : "ArrangingBroker",
"ownershipPartyReference" : {
"globalReference" : "20d01c41",
"externalReference" : "party1"
}
}, {
"partyReference" : {
"globalReference" : "20d01c41",
"externalReference" : "party1"
},
"role" : "ReportingParty",
"ownershipPartyReference" : {
"globalReference" : "20d01c41",
"externalReference" : "party1"
}
} ],
"meta" : {
"globalKey" : "c4446666"
}
},
"meta" : {
"globalKey" : "c4446666"
}
}
}
} ],
"intent" : null,
"eventDate" : "2019-12-12",
"effectiveDate" : null
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