cdm-sample-files.functions.cme-cleared-confirm-1-17.IRS-ex10-OIS-func-output.json Maven / Gradle / Ivy
{
"businessEvent" : {
"intent" : "ContractFormation",
"instruction" : [ {
"before" : {
"value" : {
"trade" : {
"product" : {
"taxonomy" : [ {
"source" : "ISDA",
"productQualifier" : "InterestRate_IRSwap_FixedFloat"
} ],
"economicTerms" : {
"payout" : [ {
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"payerReceiver" : {
"payer" : "Party1",
"receiver" : "Party2"
},
"priceQuantity" : {
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"value" : "quantity-1"
}
},
"meta" : {
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}
},
"rateSpecification" : {
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}
}
},
"meta" : {
"globalKey" : "0"
}
}
},
"dayCountFraction" : {
"value" : "ACT/360"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
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"dateAdjustments" : {
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"meta" : {
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}
},
"meta" : {
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},
"meta" : {
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},
"terminationDate" : {
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"dateAdjustments" : {
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"businessCenters" : {
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"externalReference" : "fixedPrimaryBusinessCenters"
},
"meta" : {
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}
},
"meta" : {
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"meta" : {
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"meta" : {
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},
"calculationPeriodDatesAdjustments" : {
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"businessCenters" : {
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},
"meta" : {
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},
"meta" : {
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},
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"meta" : {
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"rollConvention" : "2"
},
"meta" : {
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}
},
"paymentDates" : {
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"period" : "Y",
"meta" : {
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}
},
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDaysOffset" : {
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"period" : "D",
"meta" : {
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},
"dayType" : "Business"
},
"paymentDatesAdjustments" : {
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"businessCenters" : {
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} ],
"meta" : {
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}
},
"meta" : {
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}
},
"meta" : {
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"externalKey" : "fixedLegPaymentDates"
}
},
"cashflowRepresentation" : {
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"paymentCalculationPeriod" : [ {
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"calculationPeriod" : [ {
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"adjustedEndDate" : "2019-11-04",
"meta" : {
"globalKey" : "1e1bd825"
},
"notionalAmount" : 100000000,
"fixedRate" : 0.02345
} ],
"meta" : {
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}
}, {
"adjustedPaymentDate" : "2020-11-04",
"calculationPeriod" : [ {
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"adjustedEndDate" : "2020-11-02",
"meta" : {
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},
"notionalAmount" : 100000000,
"fixedRate" : 0.02345
} ],
"meta" : {
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}
} ]
}
},
"meta" : {
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}, {
"InterestRatePayout" : {
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"receiver" : "Party1"
},
"priceQuantity" : {
"quantitySchedule" : {
"address" : {
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"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" : {
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"dateAdjustments" : {
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"meta" : {
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}
},
"meta" : {
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}
},
"meta" : {
"globalKey" : "ecea117a"
}
},
"terminationDate" : {
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"dateAdjustments" : {
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"businessCenters" : {
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"externalReference" : "floatPrimaryBusinessCenters"
},
"meta" : {
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}
},
"meta" : {
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}
},
"meta" : {
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}
},
"meta" : {
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},
"calculationPeriodDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
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},
"meta" : {
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}
},
"meta" : {
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},
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},
"rollConvention" : "2"
},
"meta" : {
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}
},
"paymentDates" : {
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"period" : "Y",
"meta" : {
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}
},
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDaysOffset" : {
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"period" : "D",
"meta" : {
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},
"dayType" : "Business"
},
"paymentDatesAdjustments" : {
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"businessCenters" : {
"businessCenter" : [ {
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} ],
"meta" : {
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"externalKey" : "floatPrimaryBusinessCenters"
}
},
"meta" : {
"globalKey" : "3662e8ba"
}
},
"meta" : {
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"externalKey" : "floatingLegPaymentDates"
}
},
"resetDates" : {
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"externalReference" : "floatingCalcPeriodDates"
},
"resetRelativeTo" : "CalculationPeriodEndDate",
"fixingDates" : {
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"period" : "D",
"meta" : {
"globalKey" : "de77b8c9"
},
"businessDayConvention" : "PRECEDING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "USGS"
} ],
"meta" : {
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}
},
"dateRelativeTo" : {
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"externalReference" : "floatingLegResetDates"
}
},
"resetFrequency" : {
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"period" : "Y",
"meta" : {
"globalKey" : "78"
}
},
"resetDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
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"externalReference" : "floatPrimaryBusinessCenters"
},
"meta" : {
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}
},
"meta" : {
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},
"meta" : {
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},
"cashflowRepresentation" : {
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"paymentCalculationPeriod" : [ {
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"calculationPeriod" : [ {
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"meta" : {
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"notionalAmount" : 100000000,
"floatingRateDefinition" : {
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} ]
}
} ],
"meta" : {
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"meta" : {
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"floatingRateDefinition" : {
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}
} ],
"meta" : {
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}
},
"meta" : {
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}
} ]
},
"meta" : {
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}
},
"tradeLot" : [ {
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"price" : [ {
"value" : {
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"unit" : {
"currency" : {
"value" : "USD"
}
},
"perUnitOf" : {
"currency" : {
"value" : "USD"
}
},
"priceType" : "InterestRate"
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "price-1"
} ]
}
} ],
"quantity" : [ {
"value" : {
"value" : 100000000,
"unit" : {
"currency" : {
"value" : "USD"
}
}
},
"meta" : {
"location" : [ {
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} ]
}
} ],
"meta" : {
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}
}, {
"quantity" : [ {
"value" : {
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"unit" : {
"currency" : {
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}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "quantity-2"
} ]
}
} ],
"observable" : {
"value" : {
"Index" : {
"FloatingRateIndex" : {
"value" : {
"InterestRateIndex" : {
"identifier" : [ {
"identifier" : {
"value" : "USD-SOFR-COMPOUND"
},
"identifierType" : "Other"
} ],
"assetClass" : "InterestRate",
"floatingRateIndex" : {
"value" : "USD-SOFR-COMPOUND"
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "FloatingRateIndex-1"
} ]
}
}
}
},
"meta" : {
"location" : [ {
"scope" : "DOCUMENT",
"value" : "observable-1"
} ]
}
},
"meta" : {
"globalKey" : "845fcd4c"
}
} ]
} ],
"counterparty" : [ {
"role" : "Party1",
"partyReference" : {
"globalReference" : "ba4f",
"externalReference" : "clearing_firm"
}
}, {
"role" : "Party2",
"partyReference" : {
"globalReference" : "1051b",
"externalReference" : "clearing_service"
}
} ],
"tradeIdentifier" : [ {
"issuerReference" : {
"globalReference" : "1051b",
"externalReference" : "clearing_service"
},
"issuer" : {
"value" : "1010000023",
"meta" : {
"scheme" : "cftc_Namespace"
}
},
"assignedIdentifier" : [ {
"identifier" : {
"value" : "9369933",
"meta" : {
"scheme" : "cme_trade_id"
}
}
}, {
"identifier" : {
"value" : "43401034-2",
"meta" : {
"scheme" : "client_trade_id"
}
}
}, {
"identifier" : {
"value" : "43401034",
"meta" : {
"scheme" : "platform_trade_id"
}
}
}, {
"identifier" : {
"value" : "43402020",
"meta" : {
"scheme" : "platform_side_id"
}
}
}, {
"identifier" : {
"value" : "43401034",
"meta" : {
"scheme" : "block_trade_id"
}
}
}, {
"identifier" : {
"value" : "CCCIRS9369933",
"meta" : {
"scheme" : "reg_trade_id"
}
}
} ],
"meta" : {
"globalKey" : "b9d5ab8d"
}
} ],
"tradeDate" : {
"value" : "2018-10-31",
"meta" : {
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}
},
"party" : [ {
"partyId" : [ {
"identifier" : {
"value" : "010",
"meta" : {
"scheme" : "clearing_member_firms"
}
},
"meta" : {
"globalKey" : "ba4f"
}
} ],
"meta" : {
"globalKey" : "ba4f",
"externalKey" : "clearing_firm"
}
}, {
"partyId" : [ {
"identifier" : {
"value" : "CME"
},
"meta" : {
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}
} ],
"meta" : {
"globalKey" : "1051b",
"externalKey" : "clearing_service"
}
}, {
"partyId" : [ {
"identifier" : {
"value" : "MARKIT_WIRE"
},
"meta" : {
"globalKey" : "66b48bac"
}
} ],
"meta" : {
"globalKey" : "66b48bac",
"externalKey" : "trade_source"
}
} ],
"clearedDate" : "2018-10-31",
"account" : [ {
"partyReference" : {
"globalReference" : "ba4f",
"externalReference" : "clearing_firm"
},
"accountNumber" : {
"value" : "010S3",
"meta" : {
"scheme" : "clearing_firm_accounts"
}
},
"servicingParty" : {
"globalReference" : "ba4f",
"externalReference" : "clearing_firm"
},
"meta" : {
"globalKey" : "ff26a741",
"externalKey" : "account1"
}
} ],
"meta" : {
"globalKey" : "95a95996"
}
},
"meta" : {
"globalKey" : "95a95996"
}
}
}
} ],
"eventQualifier" : "ContractFormation",
"after" : [ {
"trade" : {
"product" : {
"taxonomy" : [ {
"source" : "ISDA",
"productQualifier" : "InterestRate_IRSwap_FixedFloat"
} ],
"economicTerms" : {
"payout" : [ {
"InterestRatePayout" : {
"payerReceiver" : {
"payer" : "Party1",
"receiver" : "Party2"
},
"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" : "ACT/360"
},
"calculationPeriodDates" : {
"effectiveDate" : {
"adjustableDate" : {
"unadjustedDate" : "2018-11-02",
"dateAdjustments" : {
"businessDayConvention" : "NONE",
"meta" : {
"globalKey" : "24a738"
}
},
"meta" : {
"globalKey" : "ecea117a"
}
},
"meta" : {
"globalKey" : "ecea117a"
}
},
"terminationDate" : {
"adjustableDate" : {
"unadjustedDate" : "2020-11-02",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "27e4e9",
"externalReference" : "fixedPrimaryBusinessCenters"
},
"meta" : {
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}
},
"meta" : {
"globalKey" : "f3e29fd6"
}
},
"meta" : {
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}
},
"meta" : {
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}
},
"calculationPeriodDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "27e4e9",
"externalReference" : "fixedPrimaryBusinessCenters"
},
"meta" : {
"globalKey" : "16418147"
}
},
"meta" : {
"globalKey" : "f3e29fd6"
}
},
"calculationPeriodFrequency" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "1a3b"
},
"rollConvention" : "2"
},
"meta" : {
"globalKey" : "990b80ef",
"externalKey" : "fixedCalcPeriodDates"
}
},
"paymentDates" : {
"paymentFrequency" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "78"
}
},
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDaysOffset" : {
"periodMultiplier" : 2,
"period" : "D",
"meta" : {
"globalKey" : "ea4abf7e"
},
"dayType" : "Business"
},
"paymentDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "USNY"
} ],
"meta" : {
"globalKey" : "27e4e9",
"externalKey" : "fixedPrimaryBusinessCenters"
}
},
"meta" : {
"globalKey" : "3662e8ba"
}
},
"meta" : {
"globalKey" : "1fcd4fda",
"externalKey" : "fixedLegPaymentDates"
}
},
"cashflowRepresentation" : {
"cashflowsMatchParameters" : true,
"paymentCalculationPeriod" : [ {
"adjustedPaymentDate" : "2019-11-06",
"calculationPeriod" : [ {
"adjustedStartDate" : "2018-11-02",
"adjustedEndDate" : "2019-11-04",
"meta" : {
"globalKey" : "1e1bd825"
},
"notionalAmount" : 100000000,
"fixedRate" : 0.02345
} ],
"meta" : {
"globalKey" : "1d1c891f"
}
}, {
"adjustedPaymentDate" : "2020-11-04",
"calculationPeriod" : [ {
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"adjustedEndDate" : "2020-11-02",
"meta" : {
"globalKey" : "21ddb961"
},
"notionalAmount" : 100000000,
"fixedRate" : 0.02345
} ],
"meta" : {
"globalKey" : "c439b11d"
}
} ]
}
},
"meta" : {
"globalKey" : "759ba53"
}
}, {
"InterestRatePayout" : {
"payerReceiver" : {
"payer" : "Party2",
"receiver" : "Party1"
},
"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" : "2018-11-02",
"dateAdjustments" : {
"businessDayConvention" : "NONE",
"meta" : {
"globalKey" : "24a738"
}
},
"meta" : {
"globalKey" : "ecea117a"
}
},
"meta" : {
"globalKey" : "ecea117a"
}
},
"terminationDate" : {
"adjustableDate" : {
"unadjustedDate" : "2020-11-02",
"dateAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "27e4e9",
"externalReference" : "floatPrimaryBusinessCenters"
},
"meta" : {
"globalKey" : "292e1e2f"
}
},
"meta" : {
"globalKey" : "6cf3cbe"
}
},
"meta" : {
"globalKey" : "caa87d80"
}
},
"meta" : {
"globalKey" : "caa87d80"
}
},
"calculationPeriodDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCentersReference" : {
"globalReference" : "27e4e9",
"externalReference" : "floatPrimaryBusinessCenters"
},
"meta" : {
"globalKey" : "292e1e2f"
}
},
"meta" : {
"globalKey" : "6cf3cbe"
}
},
"calculationPeriodFrequency" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "1a3b"
},
"rollConvention" : "2"
},
"meta" : {
"globalKey" : "8afeabf",
"externalKey" : "floatingCalcPeriodDates"
}
},
"paymentDates" : {
"paymentFrequency" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "78"
}
},
"payRelativeTo" : "CalculationPeriodEndDate",
"paymentDaysOffset" : {
"periodMultiplier" : 2,
"period" : "D",
"meta" : {
"globalKey" : "ea4abf7e"
},
"dayType" : "Business"
},
"paymentDatesAdjustments" : {
"businessDayConvention" : "MODFOLLOWING",
"businessCenters" : {
"businessCenter" : [ {
"value" : "USNY"
} ],
"meta" : {
"globalKey" : "27e4e9",
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