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

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<Trade id="EQ_CLIQUET_SPX">
    <TradeType>EquityCliquetOption</TradeType>
    <!-- General Data -->
    <Envelope>
        <CounterParty>CPTY_A</CounterParty>
        <NettingSetId>ABC1234</NettingSetId>
        <AdditionalFields>
            <party_id>549300A08LH2961IPN13</party_id>
            <valuation_date>2019-07-28</valuation_date>
        </AdditionalFields>
    </Envelope>
    <!-- Termsheet -->
    <!-- The payoff on the payment date = last valuation date plus settlement
         (see below) is given by
         min( max( sum min( max( S(t) / S(t-1) - Moneyness, localFloor ),
                                      localCap ), globalFloor), globalCap) -->
	<CliquetOptionData>
		<Name>RIC:.SPX</Name>
		<Currency>USD</Currency>
		<Notional>1000000.0</Notional>
		<LongShort>Short</LongShort>
	    <OptionType>Call</OptionType>
	    <Moneyness>1.0</Moneyness>
	    <LocalCap>0.07</LocalCap>
	    <GlobalFloor>-0.07</GlobalFloor>
	    <!-- the schedule dates are the valuation dates (no further adjustment applied) -->
	    <ScheduleData>
		  <Dates>
		    <Dates>
			  <Date>20171231</Date>
		      <Date>20181231</Date>
			  <Date>20191231</Date>
			  <Date>20201231</Date>
			  <Date>20211231</Date>
			  <Date>20221231</Date>
		    </Dates>
		    <Calendar>USD</Calendar>
		    <Convention>F</Convention>
		  </Dates>
	    </ScheduleData>
	    <!-- settlement days for the payout at last valuation date w.r.t. calendar and
		   term date convention of the schedule's calendar -->
	    <SettlementDays>5</SettlementDays>
	    <!-- premium, relative to notional, and payment date -->
	    <Premium>0.027</Premium>
	    <PremiumPaymentDate>2017-12-31</PremiumPaymentDate>
	</CliquetOptionData>
</Trade>