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

Go to download

Show more of this group Show more artifacts with this name
Show all versions of cdm-java Show documentation

There is a newer version: 6.0.0-dev.89

<Portfolio>
<Trade id="collar_01">
    <TradeType>CapFloor</TradeType>
    <Envelope>
        <CounterParty>001B456BCDEFGH67XY89</CounterParty>
        <NettingSetId>ABC1234</NettingSetId>
        <AdditionalFields>
            <party_id>549300A08LH2961IPN13</party_id>
            <valuation_date>2018-02-19</valuation_date>
        </AdditionalFields>
    </Envelope>
    <CapFloorData>
        <LongShort>Long</LongShort>
        <LegData>
            <LegType>Floating</LegType>
            <Payer>true</Payer>
            <Currency>EUR</Currency>
            <DayCounter>A360</DayCounter>
            <PaymentConvention>MF</PaymentConvention>
            <Notionals>
                <Notional>1000000.00</Notional>
            </Notionals>
            <ScheduleData>
                <Rules>
                    <StartDate>20151028</StartDate>
                    <EndDate>20351028</EndDate>
                    <Tenor>6M</Tenor>
                    <Calendar>TARGET</Calendar>
                    <Convention>MF</Convention>
                    <TermConvention>MF</TermConvention>
                    <Rule>Forward</Rule>
                    <EndOfMonth/>
                    <FirstDate/>
                    <LastDate/>
                </Rules>
            </ScheduleData>
            <FloatingLegData>
                <Index>EUR-EURIBOR-6M</Index>
                <Spreads>
                    <Spread>0.00</Spread>
                </Spreads>
                <IsInArrears>false</IsInArrears>
                <FixingDays>2</FixingDays>
            </FloatingLegData>
        </LegData>
        <Caps>
            <Cap>0.04</Cap>
        </Caps>
        <Floors>
            <Floor>0.01</Floor>
        </Floors>
    </CapFloorData>
</Trade>
</Portfolio>