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

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<Portfolio>
<Trade id="Var_Swap">
    <TradeType>EquityVarianceSwap</TradeType>
    <Envelope>
        <CounterParty>001B456BCDEFGH67XY89</CounterParty>
        <NettingSetId>ABC1234</NettingSetId>
        <AdditionalFields>
            <party_id>549300A08LH2961IPN13</party_id>
            <valuation_date>2018-02-19</valuation_date>
        </AdditionalFields>
    </Envelope>
    <VarianceSwapData>
        <StartDate>2016-01-29</StartDate>
        <EndDate>2016-05-05</EndDate>
        <Currency>USD</Currency>
        <Underlying>
            <Type>Equity</Type>
            <Name>.SPX</Name>
            <IdentifierType>RIC</IdentifierType>
        </Underlying>
        <LongShort>Long</LongShort>
        <Strike>0.20</Strike>
        <Notional>50000</Notional>
        <Calendar>US</Calendar>
        <MomentType>Variance</MomentType>        
    </VarianceSwapData>
</Trade>
</Portfolio>