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• CMS_Swap.xml

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cdm-sample-files.ore-1-0-39.CMS_Swap.xml Maven / Gradle / Ivy

<Portfolio>
<Trade id="CMS_Swap">
    <TradeType>Swap</TradeType>
    <Envelope>
        <CounterParty>001B456BCDEFGH67XY89</CounterParty>
        <NettingSetId>ABC1234</NettingSetId>
        <AdditionalFields>
            <party_id>549300A08LH2961IPN13</party_id>
            <valuation_date>2018-02-19</valuation_date>
        </AdditionalFields>
    </Envelope>
    <SwapData>
        <LegData>
            <LegType>Fixed</LegType>
            <Payer>false</Payer>
            <Currency>EUR</Currency>
            <Notionals>
                <Notional>10000000.000000</Notional>
            </Notionals>
            <DayCounter>A360</DayCounter>
            <PaymentConvention>MF</PaymentConvention>
            <FixedLegData>
                <Rates>
                    <Rate>0.021</Rate>
                </Rates>
            </FixedLegData>
            <ScheduleData>
                <Rules>
                    <StartDate>20160301</StartDate>
                    <EndDate>20360301</EndDate>
                    <Tenor>1Y</Tenor>
                    <Calendar>TARGET</Calendar>
                    <Convention>MF</Convention>
                    <TermConvention>MF</TermConvention>
                    <Rule>Forward</Rule>
                    <EndOfMonth/>
                    <FirstDate/>
                    <LastDate/>
                </Rules>
            </ScheduleData>
        </LegData>
        <LegData>
            <LegType>CMS</LegType>
            <Payer>true</Payer>
            <Currency>EUR</Currency>
            <Notionals>
                <Notional>10000000.000000</Notional>
            </Notionals>
            <DayCounter>A360</DayCounter>
            <PaymentConvention>MF</PaymentConvention>
            <CMSLegData>
                <Index>EUR-CMS-30Y</Index>
                <Spreads>
                    <Spread>0.000000</Spread>
                </Spreads>
                <IsInArrears>false</IsInArrears>
                <FixingDays>2</FixingDays>
            </CMSLegData>
            <ScheduleData>
                <Rules>
                    <StartDate>20160301</StartDate>
                    <EndDate>20360301</EndDate>
                    <Tenor>6M</Tenor>
                    <Calendar>TARGET</Calendar>
                    <Convention>MF</Convention>
                    <TermConvention>MF</TermConvention>
                    <Rule>Forward</Rule>
                    <EndOfMonth/>
                    <FirstDate/>
                    <LastDate/>
                </Rules>
            </ScheduleData>
        </LegData>
    </SwapData>
</Trade>
</Portfolio>