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• Swap_zero_coupon_floating_leg.xml

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

<Portfolio>
    <Trade id="Zero_with_dates">
        <TradeType>Swap</TradeType>
        <Envelope>
            <CounterParty>001B456BCDEFGH67XY89</CounterParty>
            <NettingSetId>ABC1234</NettingSetId>
            <AdditionalFields>
                <party_id>549300A08LH2961IPN13</party_id>
                <valuation_date>2020-03-13</valuation_date>
            </AdditionalFields>
        </Envelope>
        <SwapData>
            <LegData>
                <LegType>Floating</LegType>
                <Payer>false</Payer>
                <Currency>USD</Currency>
                <Notionals>
                    <Notional>184500.0000</Notional>
                </Notionals>
                <DayCounter>A360</DayCounter>
                <PaymentConvention>MF</PaymentConvention>
                <ScheduleData>
                    <Dates>
                        <Calendar>USD</Calendar>
                        <Convention>MF</Convention>
                        <Dates>
                            <Date>2020-01-14</Date>
                            <Date>2020-07-14</Date>
                        </Dates>
                    </Dates>
                </ScheduleData>
                <FloatingLegData>
                    <Index>USD-LIBOR-3M</Index>
                    <IsAveraged>false</IsAveraged>
                    <HasSubPeriods>true</HasSubPeriods>
                    <IncludeSpread>true</IncludeSpread>
                    <Spreads>
                        <Spread>0.006500</Spread>
                    </Spreads>
                    <IsInArrears>false</IsInArrears>
                    <FixingDays>2</FixingDays>
                </FloatingLegData>
            </LegData>
        </SwapData>
    </Trade>
    <Trade id="Zero_with_rule_zero">
        <TradeType>Swap</TradeType>
        <Envelope>
            <CounterParty>001B456BCDEFGH67XY89</CounterParty>
            <NettingSetId>ABC1234</NettingSetId>
            <AdditionalFields>
                <party_id>549300A08LH2961IPN13</party_id>
                <valuation_date>2020-03-13</valuation_date>
            </AdditionalFields>
        </Envelope>
        <SwapData>
            <LegData>
                <LegType>Floating</LegType>
                <Payer>false</Payer>
                <Currency>USD</Currency>
                <Notionals>
                    <Notional>184500.0000</Notional>
                </Notionals>
                <DayCounter>A360</DayCounter>
                <PaymentConvention>MF</PaymentConvention>
                <ScheduleData>
                    <Rules>
                        <StartDate>2020-01-14</StartDate>
                        <EndDate>2020-07-14</EndDate>
                        <Tenor>3M</Tenor>
                        <Calendar>USD</Calendar>
                        <Convention>MF</Convention>
                        <TermConvention>MF</TermConvention>
                        <Rule>Zero</Rule>
                    </Rules>
                </ScheduleData>
                <FloatingLegData>
                    <Index>USD-LIBOR-3M</Index>
                    <IsAveraged>false</IsAveraged>
                    <HasSubPeriods>true</HasSubPeriods>
                    <IncludeSpread>true</IncludeSpread>
                    <Spreads>
                        <Spread>0.006500</Spread>
                    </Spreads>
                    <IsInArrears>false</IsInArrears>
                    <FixingDays>2</FixingDays>
                </FloatingLegData>
            </LegData>
        </SwapData>
    </Trade>
    <Trade id="Zero_with_rule_tenor_0D">
        <TradeType>Swap</TradeType>
        <Envelope>
            <CounterParty>001B456BCDEFGH67XY89</CounterParty>
            <NettingSetId>ABC1234</NettingSetId>
            <AdditionalFields>
                <party_id>549300A08LH2961IPN13</party_id>
                <valuation_date>2020-03-13</valuation_date>
            </AdditionalFields>
        </Envelope>
        <SwapData>
            <LegData>
                <LegType>Floating</LegType>
                <Payer>false</Payer>
                <Currency>USD</Currency>
                <Notionals>
                    <Notional>184500.0000</Notional>
                </Notionals>
                <DayCounter>A360</DayCounter>
                <PaymentConvention>MF</PaymentConvention>
                <ScheduleData>
                    <Rules>
                        <StartDate>2020-01-14</StartDate>
                        <EndDate>2020-07-14</EndDate>
                        <Tenor>0D</Tenor>          	
                        <Calendar>USD</Calendar>
                        <Convention>MF</Convention>
                        <TermConvention>MF</TermConvention>
                        <Rule>Forward</Rule>
                    </Rules>
                </ScheduleData>
                <FloatingLegData>
                    <Index>USD-LIBOR-3M</Index>
                    <IsAveraged>false</IsAveraged>
                    <HasSubPeriods>true</HasSubPeriods>
                    <IncludeSpread>true</IncludeSpread>          
                    <Spreads>
                        <Spread>0.006500</Spread>
                    </Spreads>
                    <IsInArrears>false</IsInArrears>
                    <FixingDays>2</FixingDays>
                </FloatingLegData>        
            </LegData>
        </SwapData>
    </Trade>
</Portfolio>