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

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<Portfolio>
<Trade id="BERMUDAN_SWAPTION">
    <TradeType>Swaption</TradeType>
    <Envelope>
        <CounterParty>001B456BCDEFGH67XY89</CounterParty>
        <NettingSetId>ABC1234</NettingSetId>
        <AdditionalFields>
            <party_id>549300A08LH2961IPN13</party_id>
            <valuation_date>2018-02-19</valuation_date>
        </AdditionalFields>
    </Envelope>
    <SwaptionData>
        <OptionData>
            <LongShort>Short</LongShort>
            <OptionType>Call</OptionType>
            <Style>Bermudan</Style>
            <Settlement>Physical</Settlement>
            <PayOffAtExpiry>false</PayOffAtExpiry>
            <ExerciseDates>
                <ExerciseDate>2028-10-01</ExerciseDate>
                <ExerciseDate>2029-10-01</ExerciseDate>
                <ExerciseDate>2030-10-01</ExerciseDate>
                <ExerciseDate>2031-10-01</ExerciseDate>
                <ExerciseDate>2032-10-01</ExerciseDate>
                <ExerciseDate>2033-10-01</ExerciseDate>
            </ExerciseDates>
        </OptionData>
        <LegData>
            <LegType>Floating</LegType>
            <Payer>true</Payer>
            <Currency>EUR</Currency>
            <Notionals>
                <Notional>10000000</Notional>
            </Notionals>
            <DayCounter>A360</DayCounter>
            <PaymentConvention>ModifiedFollowing</PaymentConvention>
            <FloatingLegData>
                <Index>EUR-EURIBOR-3M</Index>
                <Spreads>
                    <Spread>0.0</Spread>
                </Spreads>
            </FloatingLegData>
            <ScheduleData>
                <Rules>
                    <StartDate>2028-10-01</StartDate>
                    <EndDate>2038-10-01</EndDate>
                    <Tenor>3M</Tenor>
                    <Calendar>TARGET</Calendar>
                    <Convention>ModifiedFollowing</Convention>
                    <TermConvention>ModifiedFollowing</TermConvention>
                    <Rule>Forward</Rule>
                    <EndOfMonth/>
                    <FirstDate/>
                    <LastDate/>
                </Rules>
            </ScheduleData>
        </LegData>
        <LegData>
            <LegType>Fixed</LegType>
            <Payer>false</Payer>
            <Currency>EUR</Currency>
            <Notionals>
                <Notional>10000000</Notional>
            </Notionals>
            <DayCounter>ACT/ACT</DayCounter>
            <PaymentConvention>Following</PaymentConvention>
            <FixedLegData>
                <Rates>
                    <Rate>0.05</Rate>
                </Rates>
            </FixedLegData>
            <ScheduleData>
                <Rules>
                    <StartDate>2028-10-01</StartDate>
                    <EndDate>2038-10-01</EndDate>
                    <Tenor>1Y</Tenor>
                    <Calendar>TARGET</Calendar>
                    <Convention>Following</Convention>
                    <TermConvention>Following</TermConvention>
                    <Rule>Forward</Rule>
                    <EndOfMonth/>
                    <FirstDate/>
                    <LastDate/>
                </Rules>
            </ScheduleData>
        </LegData>
    </SwaptionData>
</Trade>
</Portfolio>